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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marc Hallin & Jean-Marie Dufour, 1993.
"Improved Eaton bounds for linear combinations of bounded random variables, with statistical applications,"
ULB Institutional Repository
2013/2043, ULB -- Universite Libre de Bruxelles.
- Dufour, J-M. & Hallin, M., 1990. "Improved Eaton Bounds for Linear Combinations of Bounded Random Variables , with Statistical Applications," Papers 9104, Universite Libre de Bruxelles - C.E.M.E..
- Dufour, J.M. & Hallin, M., 1992. "Improved Eaton Bounds for Linear Combinations of Bounded Random Variables with Statistical Applications," Cahiers de recherche 9224, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dufour, J.M. & Hallin, M., 1992. "Improved Eaton Bounds for Linear Combinations of Bounded Random Variables with Statistical Applications," Cahiers de recherche 9224, Universite de Montreal, Departement de sciences economiques.
- Karl H. Schlag, 2006. "Designing Non-Parametric Estimates and Tests for Means," Economics Working Papers ECO2006/26, European University Institute.
- Esther Duflo & Michael Kremer & Jonathan Robinson, 2009.
"Nudging Farmers to Use Fertilizer: Theory and Experimental Evidence from Kenya,"
NBER Working Papers
15131, National Bureau of Economic Research, Inc.
- 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 2350-90, October.
- 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 S19-S49, 01.
- 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.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
When requesting a correction, please mention this item's handle: RePEc:vie:viennp:1201. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Paper Administrator)
If references are entirely missing, you can add them using this form.