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Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients

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Godfrey, Leslie G.
Orme, Chris D.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4B8528W-M/2/4513229ef9122a8fac062dd1f59d78f6
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 82 (2004)
Issue (Month): 2 (February)
Pages: 281-287
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Handle: RePEc:eee:ecolet:v:82:y:2004:i:2:p:281-287

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  1. Stan Hurn & Ralf Becker, 2006. "Testing for nonlinearity in mean in the presence of heteroskedasticity," Stan Hurn Discussion Papers 2006-02, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    Other versions:
  2. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," The School of Economics Discussion Paper Series 0611, Economics, The University of Manchester. [Downloadable!]
    Other versions:
  3. Emmanuel Flachaire, 2005. "More efficient tests robust to heteroskedasticity of unknown form," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175914_v1, HAL. [Downloadable!]
  4. E Fe-Rodriguez & C D Orme, 2005. "The Asymptotic Equivalence of Kernel-based Nonparametric Conditional Moment Test Statistics," The School of Economics Discussion Paper Series 0504, Economics, The University of Manchester. [Downloadable!]
  5. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research. [Downloadable!]
  6. Ralf Becker & Denise Osborn, 2007. "Weighted smooth transition regressions," The School of Economics Discussion Paper Series 0724, Economics, The University of Manchester. [Downloadable!]
  7. Todd E. Clark & Michael W. McCracken, 2008. "Combining forecasts from nested models," Working Papers 2008-037, Federal Reserve Bank of St. Louis. [Downloadable!]
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