Finite Sample Exact tests for Linear

Oliver Gossner () and Karl Schlag
Additional contact information
Oliver Gossner: https://econ.univie.ac.at

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 endogenous 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)
Date: 2012-02
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papersecon.univie.ac.at/RePEc/vie/viennp/vie1201.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vie:viennp:vie1201

Access Statistics for this paper

More papers in Vienna Economics Papers from University of Vienna, Department of Economics
Bibliographic data for series maintained by Paper Administrator ().