Heteroskedastcity-robust tests in regressions directions
We develop simple procedures to test for omitted variables and perform other tests in regression directions, which are asymptotically valid in the presence of heteroskedasticity of unknown form. We examine the asymptotic behaviour of these tests, and use Edgeworth approximations to study their approximate finite-sample performance. We also present results from several Monte Carlo experiments, which suggest that one family of these tests should always be used in preference to the other.
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|Note:||In : Annales de l'INSEE, 59-60, 183-218, 1985|
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- MacKinnon, James G. & White, Halbert, 1985.
"Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties,"
Journal of Econometrics,
Elsevier, vol. 29(3), pages 305-325, September.
- James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers 537, Queen's University, Department of Economics.
- Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, vol. 20(1), pages 83-104, October.
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