Approximate Power Functions for Some Robust Tests of Regression Coefficients

DOI10.2307/1911356zbMath0647.62066OpenAlexW2049027769MaRDI QIDQ3792088

Thomas J. Rothenberg

Publication date: 1988

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://www.escholarship.org/uc/item/6cg9w3k7

zbMATH Keywords

heteroscedasticitylocal alternativesgeneralized least squaresautocorrelationdeficiencyrobust testsrobust estimatehigh dimensionlow dimensionerror covariance matrixEdgeworth approximationsasymptotic critical valuesapproximate local power functionsordinary least squares slope coefficientsratios of estimated slope coefficients to their estimated standard errorssize-adjusted tests

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

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