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Finite-sample exact tests for linear regressions with bounded dependent variables

Olivier Gossner and Karl Schlag ()

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Abstract: 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)
Date: 2013-11
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00879792
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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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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00879792

DOI: 10.1016/j.jeconom.2013.06.003

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