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

Olivier Gossner; Karl H. Schlag

doi:10.1016/j.jeconom.2013.06.003

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

Olivier Gossner
, Karl H. Schlag

Paris-Jourdan Sciences Economiques
School of Economics
University of Vienna

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	75-84
Nombre de pages	10
journal	Journal of Econometrics
Volume	177
Numéro de publication	1
Les DOIs	https://doi.org/10.1016/j.jeconom.2013.06.003
état	Publié - 1 janv. 2013
Modification externe	Oui

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10.1016/j.jeconom.2013.06.003

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title = "Finite-sample exact tests for linear regressions with bounded dependent variables",

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.",

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AB - 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.

KW - Exact test

KW - Heteroskedasticity

KW - Nonparametric linear regression

UR - https://www.scopus.com/pages/publications/84883448973

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DO - 10.1016/j.jeconom.2013.06.003

M3 - Article

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

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