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Heteroskedasticity-Robust Tests in Regression Directions

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Author Info
Russell Davidson
James G. MacKinnon

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Abstract

We develop simple procedures to test for omitted variables and perform other tests in regression directions, which are asymptotically valid in the presence of heteroskedasticity of unknown form. We examine the asymptotic behaviour of these tests, and use Edgeworth approximations to study their approximate finite-sample performance. We also present results from several Monte Carlo experiments, which suggest that one family of these tests should always be used in preference to the other.

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File URL: http://www.econ.queensu.ca/working_papers/papers/qed_wp_616.pdf
File Format: application/pdf
File Function: First version 1985
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Publisher Info
Paper provided by Queen's University, Department of Economics in its series Working Papers with number 616.

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Length: 31 pages
Date of creation: 1985
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Publication status: Published in Annales de l'INSEE, 1985
Handle: RePEc:qed:wpaper:616

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Keywords: heteroskedasticity-robust test specification test Edgeworth approximation

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  1. Munehisa Kasuya, 2005. "Regime-switching approach to monetary policy effects," Applied Economics, Taylor and Francis Journals, vol. 37(3), pages 307-326, February. [Downloadable!] (restricted)
  2. 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:
  3. Rainer Schulz & Axel Werwatz, 2008. "House Prices and Replacement Cost: A Micro-Level Analysis," SFB 649 Discussion Papers SFB649DP2008-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  4. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics. [Downloadable!]
  5. Julian R. Betts, 1995. "Which Types of Public School Spending are Most Effective? New Evidence on The School Quality Debate," University of California at San Diego, Economics Working Paper Series 95-03, Department of Economics, UC San Diego. [Downloadable!]
  6. James G. MacKinnon, 1988. "Heteroskedasticity-robust tests for structural change," Working Papers 717, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
  7. Russell Davidson & James G. MacKinnon, 1988. "Specification Tests Based on Artificial Regressions," Working Papers 707, Queen's University, Department of Economics. [Downloadable!]
  8. Adrian Pagan & Hashem Pesaran, 2007. "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research. [Downloadable!]
  9. Erdinc Telatar & Mubariz Hasanov, 2006. "The asymmetric effects of monetary shocks: the case of Turkey," Applied Economics, Taylor and Francis Journals, vol. 38(18), pages 2199-2208, October. [Downloadable!] (restricted)
  10. Sang-Kuck Chung, 2006. "The out-of-sample forecasts of nonlinear long-memory models of the real exchange rate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 355-370. [Downloadable!]
  11. Russell Davidson & James G. MacKinnon, 2001. "Artificial Regressions," Working Papers 1038, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
  12. LE GALLO, Julie, 2000. "Econométrie spatiale 2 -Hétérogénéité spatiale," LATEC - Document de travail - Economie 2001-01, LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne (1982-2003). [Downloadable!]
  13. D. van Dijk & T. Terasvirta & P.H. Franses, 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Report 200, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  14. P. Rothman & D.J.C. van Dijk & P.H.B.F. Franses, 1999. "A multivariate STAR analysis of the relationship between money and output," Econometric Institute Report 170, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
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