Finite Sample Exact tests for Linear
AbstractWe 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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Bibliographic InfoPaper provided by University of Vienna, Department of Economics in its series Vienna Economics Papers with number 1201.
Date of creation: Feb 2012
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- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
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