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Article Dans Une Revue Econometrics Année : 2013

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

Résumé

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.

Dates et versions

halshs-00879792 , version 1 (04-11-2013)

Identifiants

Citer

Olivier Gossner, Karl H. Schlag. Finite-sample exact tests for linear regressions with bounded dependent variables. Econometrics, 2013, 177 (1), pp.75-84. ⟨10.1016/j.jeconom.2013.06.003⟩. ⟨halshs-00879792⟩
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