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Heteroskedasticity-Robust Tests in Regression Directions

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  • Russell Davidson
  • James G. MacKinnon

Abstract

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.

Suggested Citation

  • Russell Davidson & James G. MacKinnon, 1985. "Heteroskedasticity-Robust Tests in Regression Directions," Working Paper 616, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:616
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    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_616.pdf
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    References listed on IDEAS

    as
    1. Engle, Robert F., 1982. "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, vol. 20(1), pages 83-104, October.
    2. Russell Davidson & James G. Mackinnon, 1982. "Some Non-Nested Hypothesis Tests and the Relations Among Them," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 49(4), pages 551-565.
    3. Rothenberg, Thomas J., 1984. "Approximate Power Functions for Some Robust Tests of Regression Coefficients," Department of Economics, Working Paper Series qt6cg9w3k7, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    4. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
    5. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
    6. 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.
    7. 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.
    8. Russell W. Davidson & James G. MacKinnon, 1985. "The Interpretation of Test Statistics," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 38-57, February.
    9. Messer, Karen & White, Halbert, 1984. "A Note on Computing the Heteroskedasticity Consistent Covariance Matrix Using Instrumental Variable Techniques," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 46(2), pages 181-184, May.
    Full references (including those not matched with items on IDEAS)

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