A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics

Benedikt M. P\"otscher and David Preinerstorfer
Authors registered in the RePEc Author Service: Benedikt M. Pötscher

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Abstract: We revisit size controllability results in P\"otscher and Preinerstorfer (2021) concerning heteroskedasticity robust test statistics in regression models. For the special, but important, case of testing a single restriction (e.g., a zero restriction on a single coefficient), we povide a necessary and sufficient condition for size controllability, whereas the condition in P\"otscher and Preinerstorfer (2021) is, in general, only sufficient (even in the case of testing a single restriction).

Date: 2024-12
New Economics Papers: this item is included in nep-ecm and nep-mac
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