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

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...

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Bibliographic Details
Published in:Econometrics 2013-11, Vol.177 (1), p.75-84
Main Authors: Gossner, Olivier, Schlag, Karl H.
Format: Article
Language:English
Subjects:
Bounded rationality
Branch & bound algorithms
Economics and Finance
Empirical research
Error
Exact test
Finite element analysis
Heteroskedasticity
Humanities and Social Sciences
Linear models
Nonparametric linear regression
Probability
Regression analysis
Studies
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Summary: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.
ISSN:0304-4076
2225-1146
1872-6895
2225-1146
DOI:10.1016/j.jeconom.2013.06.003