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

Author

Listed:
  • Olivier Gossner

    (PSE - Paris-Jourdan Sciences Economiques - ENS Paris - École normale supérieure - Paris - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics, LSE - London School of Economics and Political Science)

  • Karl H. Schlag

    (University of Vienna [Vienna])

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

  • Olivier Gossner & Karl H. Schlag, 2013. "Finite-sample exact tests for linear regressions with bounded dependent variables," Post-Print halshs-00879792, HAL.
  • Handle: RePEc:hal:journl:halshs-00879792
    DOI: 10.1016/j.jeconom.2013.06.003
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00879792
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    References listed on IDEAS

    as
    1. Esther Duflo & Michael Kremer & Jonathan Robinson, 2011. "Nudging Farmers to Use Fertilizer: Theory and Experimental Evidence from Kenya," American Economic Review, American Economic Association, vol. 101(6), pages 2350-2390, October.
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    4. 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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    6. 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.
    7. 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.
    8. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
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    10. Chernozhukov, Victor & Hansen, Christian & Jansson, Michael, 2009. "Finite sample inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 152(2), pages 93-103, October.
    11. Karl H. Schlag, 2006. "Designing Non-Parametric Estimates and Tests for Means," Economics Working Papers ECO2006/26, European University Institute.
    12. 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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    More about this item

    Keywords

    Nonparametric linear regression; Exact test; Heteroskedasticity;

    JEL classification:

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

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