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Hypothesis Testing in Linear Models When the Error Covariance Matrix Is Nonscalar

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  • Rothernberg, Thomas J

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  • Rothernberg, Thomas J, 1984. "Hypothesis Testing in Linear Models When the Error Covariance Matrix Is Nonscalar," Econometrica, Econometric Society, vol. 52(4), pages 827-842, July.
  • Handle: RePEc:ecm:emetrp:v:52:y:1984:i:4:p:827-42
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    Cited by:

    1. Russell Davidson & James G. MacKinnon, 1996. "The Size and Power of Bootstrap Tests," Working Papers 932, Queen's University, Department of Economics.
    2. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Simulation based finite and large sample tests in multivariate regressions," Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December.
    3. Hausman, Jerry & Kuersteiner, Guido, 2008. "Difference in difference meets generalized least squares: Higher order properties of hypotheses tests," Journal of Econometrics, Elsevier, vol. 144(2), pages 371-391, June.
    4. Anatolyev, Stanislav, 2012. "Inference in regression models with many regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 368-382.
    5. Kojima, Masahiro & Kubokawa, Tatsuya, 2013. "Bartlett-type adjustments for hypothesis testing in linear models with general error covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 162-174.
    6. Attfield, C. L. F., 1995. "A Bartlett adjustment to the likelihood ratio test for a system of equations," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 207-223.
    7. Banerjee, Anurag N. & Magnus, Jan R., 2000. "On the sensitivity of the usual t- and F-tests to covariance misspecification," Journal of Econometrics, Elsevier, vol. 95(1), pages 157-176, March.
    8. Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
    9. Masahiro Kojima & Tatsuya Kubokawa, 2013. "Bartlett Adjustments for Hypothesis Testing in Linear Models with General Error Covariance Matrices," CIRJE F-Series CIRJE-F-884, CIRJE, Faculty of Economics, University of Tokyo.
    10. Rayner, Robert K., 1991. "Resampling methods for tests in regression models with autocorrelated errors," Economics Letters, Elsevier, vol. 36(3), pages 281-284, July.

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