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Finite Sample Exact tests for Linear

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Abstract

We introduce tests for finite sample multivariate linear regressions with heteroskedastic errors that have mean zero. We assume bounds on endogenous 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.

Suggested Citation

  • Oliver Gossner & Karl Schlag, 2012. "Finite Sample Exact tests for Linear," Vienna Economics Papers vie1201, University of Vienna, Department of Economics.
    • Handle: RePEc:vie:viennp:vie1201
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    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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