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Finite Sample Exact tests for Linear

Olivier Gossner and Karl Schlag ()

Vienna Economics Papers from University of Vienna, Department of Economics

Abstract: We introduce tests for finite sample multivariate linear regressions with heteroskedastic errors that have mean zero. We assume bounds on endoge- nous variables but do not make additional assumptions on errors. The tests are exact, i.e., they have guaranteed type I error probabilities. We provide bounds on probability of type II errors, and apply the tests to empirical data.

JEL-codes: C20 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2012-02
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