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Finite Sample Exact tests for Linear

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  • Oliver Gossner

    ()

  • Karl Schlag

    ()

Abstract

We introduce tests for finite sample multivariate linear regressions with heteroskedastic errors that have mean zero. We assume bounds on endoge- nous variables but do not make additional assumptions on errors. The tests are exact, i.e., they have guaranteed type I error probabilities. We provide bounds on probability of type II errors, and apply the tests to empirical data.

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File URL: http://homepage.univie.ac.at/Papers.Econ/RePEc/vie/viennp/vie1201.pdf
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Bibliographic Info

Paper provided by University of Vienna, Department of Economics in its series Vienna Economics Papers with number 1201.

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Date of creation: Feb 2012
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Handle: RePEc:vie:viennp:1201

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Web page: http://www.univie.ac.at/vwl

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  1. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
  2. Chernozhukov, Victor & Hansen, Christian & Jansson, Michael, 2009. "Finite sample inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 152(2), pages 93-103, October.
  3. Elise Coudin & Jean-Marie Dufour, 2009. "Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages S19-S49, 01.
  4. Dufour, J-M. & Hallin, M., 1990. "Improved Eaton Bounds for Linear Combinations of Bounded Random Variables , with Statistical Applications," Papers 9104, Universite Libre de Bruxelles - C.E.M.E..
  5. Esther Duflo & Michael Kremer & Jonathan Robinson, 2011. "Nudging Farmers to Use Fertilizer: Theory and Experimental Evidence from Kenya," American Economic Review, American Economic Association, vol. 101(6), pages 2350-90, October.
  6. Karl H. Schlag, 2006. "Designing Non-Parametric Estimates and Tests for Means," Economics Working Papers ECO2006/26, European University Institute.
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