Finite-sample exact tests for linear regressions with bounded dependent variables

A-Tier
Journal: Journal of Econometrics
Year: 2013
Volume: 177
Issue: 1
Pages: 75-84

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We introduce tests for finite-sample linear regressions with heteroskedastic errors. The tests are exact, i.e., they have guaranteed type I error probabilities when bounds are known on the range of the dependent variable, without any assumptions about the noise structure. We provide upper bounds on probability of type II errors, and apply the tests to empirical data.

Technical Details

RePEc Handle
repec:eee:econom:v:177:y:2013:i:1:p:75-84
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25