Heteroskedasticity-Robust Tests in Regression Directions

Russell Davidson and James MacKinnon ()

Working Papers from Queen's University, Department of Economics

Abstract: We develop simple procedures to test for omitted variables and perform other tests in regression directions, which are asymptotically valid in the presence of heteroskedasticity of unknown form. We examine the asymptotic behaviour of these tests, and use Edgeworth approximations to study their approximate finite-sample performance. We also present results from several Monte Carlo experiments, which suggest that one family of these tests should always be used in preference to the other.

Keywords: heteroskedasticity-robust test; specification test; Edgeworth approximation (search for similar items in EconPapers)
Date: 1985
View citations in EconPapers

Published in Annales de l'INSEE, 1985

Downloads: (external link)
http://www.econ.queensu.ca/working_papers/papers/qed_wp_616.pdf First version 1985 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:qed:wpaper:616

Access Statistics for this paper

More papers in Working Papers from Queen's University, Department of Economics
Contact information at EDIRC.
Series data maintained by Mark Babcock ().