Finite Sample Exact tests for Linear
Olivier Gossner and
Karl Schlag ()
Vienna Economics Papers from University of Vienna, Department of Economics
We introduce tests for finite sample multivariate linear regressions with heteroskedastic errors that have mean zero. We assume bounds on endoge- nous variables but do not make additional assumptions on errors. The tests are exact, i.e., they have guaranteed type I error probabilities. We provide bounds on probability of type II errors, and apply the tests to empirical data.
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Persistent link: http://EconPapers.repec.org/RePEc:vie:viennp:1201
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