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

Finite-sample exact tests for linear regressions with bounded dependent variables — Journal of Econometrics 177(1), 75–84 (2013)
Authors

Olivier Gossner

Karl H. Schlag

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.

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Journal of Econometrics 177(1), 75–84 (2013)

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Citation

BibTeX citation:
@article{gossner2013,
  author = {Gossner, Olivier and H. Schlag, Karl},
  title = {Finite-Sample Exact Tests for Linear Regressions with Bounded
    Dependent Variables},
  journal = {Journal of Econometrics},
  volume = {177},
  number = {1},
  pages = {75–84},
  date = {2013},
  url = {https://gossner.me/papers/finite-sample-exact-tests-for-linear-regressions-with-bounded-dependent-variables.html},
  doi = {10.1016/j.jeconom.2013.06.003},
  langid = {en},
  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.}
}
For attribution, please cite this work as:
Gossner, Olivier, and Karl H. Schlag. 2013. “Finite-Sample Exact Tests for Linear Regressions with Bounded Dependent Variables.” Journal of Econometrics 177 (1): 75–84. https://doi.org/10.1016/j.jeconom.2013.06.003.