In Fisher’s net: exact F-tests in semi-parametric models with exchangeable errors

Frédéric Jouneau-Sion () and Olivier Torrès
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Frédéric Jouneau-Sion: Université de Lyon, Lyon, F-69007, France ; CNRS, GATE Lyon St Etienne,F-69130 Ecully, France
Olivier Torrès: EQUIPPE-GREMARS Universités de Lille, France

No 1422, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: We consider testing about the slope parameter ß when Y - X ß is assumed to be an exchangeable process conditionally on X. This framework encompasses the semi-parametric linear regression model. We show that the usual Fisher’s procedure have non trivial exact rejection bound under the null hypothesis R ß = ϒ. This bound derives from the Markov inequality and a close inspection of multivariate moments of self-normalized, self-centered, exchangeable processes. Improvement by higher order versions of the Markov inequality are also presented. The bounds do not require the existence of any moment, so they remain valid even if TCL do not apply. We generalize the framework to multivariate and order-1 auto-regressive models with exogenous variables.

Keywords: Exact testing; linear model; AR(1) model; multivariate model; exchangeable process (search for similar items in EconPapers)
JEL-codes: C01 C12 C14 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:gat:wpaper:1422

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