Exact inference for the linear model with groupwise heteroscedastic spherical disturbances

Paul Bekker and Erik Leertouwer
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Erik Leertouwer: Groningen University

No 200008, CCSO Working Papers from University of Groningen, CCSO Centre for Economic Research

Abstract: Exact inference on a single coefficient in a linear regression model, as introduced by Bekker (1997), is elaborated for the case of normally distributed heteroscedastic disturbances. Instead of approximate inference based on feasible generalized least squares, exact confidence sets are formulated based on partial rotational invariance of the distribution of the vector of disturbances. The approach is applied to the random-effects and fixed-effects models for panel data.

Date: 2000
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