Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients

DOI10.1016/j.econlet.2003.08.012zbMath1255.62036OpenAlexW2084657918MaRDI QIDQ1927432

Chris D. Orme, Leslie G. Godfrey

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.08.012

zbMATH Keywords

wild bootstrap

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Parametric inference under constraints (62F30) Robustness and adaptive procedures (parametric inference) (62F35) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (5)

A Heteroskedasticity-RobustF-Test Statistic for Individual Effects ⋮ Tests for regression models with heteroskedasticity of unknown form ⋮ How Reliable are Bootstrap-based Heteroskedasticity Robust Tests? ⋮ More Efficient Tests Robust to Heteroskedasticity of Unknown Form ⋮ On detecting the optimal structure of a neural network under strong statistical features in errors

Cites Work

• The wild bootstrap, tamed at last
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A heteroscedasticity-consistent covariance matrix estimator for time series regressions
• Bootstrap procedures under some non-i.i.d. models
• The robustness, reliabiligy and power of heteroskedasticity tests

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