Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald Tests

DOI10.2307/1913779zbMath0684.62077OpenAlexW2006810979MaRDI QIDQ4734644

Andrew Chesher

Publication date: 1989

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913779

zbMATH Keywords

sample sizeboundsordinary least squares estimatorregression designexact test sizenumber of regressorsEstimators of the variance matrixheteroskedasticity robust Wald type test statisticsmeasures of the leverage of pointsquality of asymptotic approximations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ Inference in Linear Regression Models with Many Covariates and Heteroscedasticity ⋮ On the power of tests for superexogeneity and structural invariance ⋮ Second order approximation in a linear regression with heteroskedasticity of unknown form ⋮ Resurrecting weighted least squares ⋮ How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?

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