Heteroskedasticity-Robust Tests in Regression Directions

Russell Davidson and James MacKinnon

Working Paper from Economics Department, Queen's University

Abstract: We develop simple procedures to test for omitted variables and perform other tests in regression directions, which are asymptotically valid in the presence of heteroskedasticity of unknown form. We examine the asymptotic behaviour of these tests, and use Edgeworth approximations to study their approximate finite-sample performance. We also present results from several Monte Carlo experiments, which suggest that one family of these tests should always be used in preference to the other.

Keywords: heteroskedasticity-robust test; specification test; Edgeworth approximation (search for similar items in EconPapers)
Pages: 31 pages
Date: 1985
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Citations: View citations in EconPapers (56)

Published in Annales de l'INSEE, 1985

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http://qed.econ.queensu.ca/working_papers/papers/qed_wp_616.pdf First version 1985 (application/pdf)

Related works:
Working Paper: Heteroskedastcity-robust tests in regressions directions (1985)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:616

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