Finite-sample exact tests for linear regressions with bounded dependent variables
Olivier Gossner and
Karl Schlag ()
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We introduce tests for finite-sample linear regressions with heteroskedastic errors. The tests are exact, i.e., they have guaranteed type I error probabilities when bounds are known on the range of the dependent variable, without any assumptions about the noise structure. We provide upper bounds on probability of type II errors, and apply the tests to empirical data.
Keywords: Nonparametric linear regression; Exact test; Heteroskedasticity (search for similar items in EconPapers)
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Published in Econometrics, MDPI, 2013, 177 (1), pp.75-84. ⟨10.1016/j.jeconom.2013.06.003⟩
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Journal Article: Finite-sample exact tests for linear regressions with bounded dependent variables (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00879792
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