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Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors

Moreira, Humberto; Moreira, Marcelo J. - 2016 - This version: June 10, 2016

This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We...

Persistent link: https://www.econbiz.de/10011485564

Outer-product-of-gradients tests for spatial autoregressive models

Jin, Fei; Lee, Lung-fei - In: Regional science & urban economics 72 (2018), pp. 35-57

Persistent link: https://www.econbiz.de/10012108383

Interaction matrix selection in spatial autoregressive models with an application to growth theory

Debarsy, Nicolas; Ertur, Kamil C. - In: Regional science & urban economics 75 (2019), pp. 49-69

Persistent link: https://www.econbiz.de/10012119136

Modified variance ratio test for autocorrelation in the presence of heteroskedasticity

Chand, Sohail; Aftab, Nuzhat - In: The Lahore journal of economics 23 (2018) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011980462

A unified unit root test regardless of intercept

Yang, Bingduo; Liu, Xiaohui; Long, Wei; Peng, Liang - In: Econometric reviews 42 (2023) 6, pp. 540-555

Persistent link: https://www.econbiz.de/10014305575

Bootstrapped White's test for heteroskedasticity in regression models

Jeong, Jinook; Lee, Kyoungwoo - In: Economics letters 63 (1999) 3, pp. 261-267

Persistent link: https://www.econbiz.de/10001398927

Exact and bootstrap distribution of a Wald test for equality of each individual regression coefficient under heteroscedasticity

Ohtani, Kazuhiro - In: Journal of quantitative economics : official journal of … 15 (1999) 1, pp. 77-88

Persistent link: https://www.econbiz.de/10001488724

Bootstrap methods for heteroskedastic regression models : evidence on estimation and testing

Cribari-Neto, Francisco; Zarkos, Spyros G. - In: Econometric reviews 18 (1999) 2, pp. 211-228

Persistent link: https://www.econbiz.de/10001371098

The wild bootstrap, tamed at last

Davidson, Russell; Flachaire, Emmanuel - 2001

Persistent link: https://www.econbiz.de/10001554395

Imposed linear structures in conventional sampling theory

Pokropp, Fritz - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 3, pp. 333-352

Persistent link: https://www.econbiz.de/10001760043