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Heteroskedasticity-Robust Tests in Regression Directions

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Author Info

  • Russell Davidson
  • James G. MacKinnon

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://qed.econ.queensu.ca/working_papers/papers/qed_wp_616.pdf
File Function: First version 1985
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Bibliographic 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
Date of revision:
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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References

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  1. Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, vol. 20(1), pages 83-104, October.
  2. James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers 537, Queen's University, Department of Economics.
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