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

Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English (US)
Pages (from-to)	75-84
Number of pages	10
Journal	Journal of Econometrics
Volume	177
Issue number	1
DOIs	https://doi.org/10.1016/j.jeconom.2013.06.003
State	Published - Nov 2013

Keywords

Exact test
Heteroskedasticity
Nonparametric linear regression

ASJC Scopus subject areas

Economics and Econometrics
Applied Mathematics

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10.1016/j.jeconom.2013.06.003

Cite this

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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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KW - Nonparametric linear regression

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

Abstract

Keywords

ASJC Scopus subject areas

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