Finite Sample Exact tests for Linear
We introduce tests for finite sample multivariate linear regressions with heteroskedastic errors that have mean zero. We assume bounds on endoge- nous variables but do not make additional assumptions on errors. The tests are exact, i.e., they have guaranteed type I error probabilities. We provide bounds on probability of type II errors, and apply the tests to empirical data.
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"Improved Eaton Bounds for Linear Combinations of Bounded Random Variables with Statistical Applications,"
Cahiers de recherche
9224, Universite de Montreal, Departement de sciences economiques.
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