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Finite-sample exact tests for linear regressions with bounded dependent variables

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  • Gossner, Olivier
  • Schlag, Karl H.

Abstract

We introduce tests for finite-sample linear regressions with heteroskedastic errors. The tests are exact, i.e., they have guaranteed type I error probabilities when bounds are known on the range of the dependent variable, without any assumptions about the noise structure. We provide upper bounds on probability of type II errors, and apply the tests to empirical data.

Suggested Citation

  • Gossner, Olivier & Schlag, Karl H., 2013. "Finite-sample exact tests for linear regressions with bounded dependent variables," Journal of Econometrics, Elsevier, vol. 177(1), pages 75-84.
    • Handle: RePEc:eee:econom:v:177:y:2013:i:1:p:75-84
    DOI: 10.1016/j.jeconom.2013.06.003
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    5. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2532-2553, November.
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    7. Karl Schlag, 2008. "A new method for constructing exact tests without making any assumptions," Economics Working Papers 1109, Department of Economics and Business, Universitat Pompeu Fabra.
    8. Karl Schlag, 2008. "Exact tests for correlation and for the slope in simple linear regressions without making assumptions," Economics Working Papers 1097, Department of Economics and Business, Universitat Pompeu Fabra.
    9. 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 19-49, January.
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    Cited by:

    1. Frédéric Jouneau-Sion & Olivier Torrès, 2014. "In Fisher’s net : exact F-tests in semi-parametric models with exchangeable errors," Working Papers 1422, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    2. Frédéric Jouneau-Sion & Olivier Torrès, 2014. "In Fisher's net : exact F-tests in semi-parametric models with exchangeable errors," Working Papers halshs-01062623, HAL.
    3. Ulrich K. Müller, 2020. "A More Robust t-Test," Working Papers 2020-32, Princeton University. Economics Department..
    4. Ulrich K. Mueller, 2020. "A More Robust t-Test," Papers 2007.07065, arXiv.org.

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    More about this item

    Keywords

    Nonparametric linear regression; Exact test; Heteroskedasticity;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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