Testing many restrictions under heteroskedasticity

DOI10.1016/j.jeconom.2023.03.011arXiv2003.07320OpenAlexW3126046305MaRDI QIDQ6175550

Stanislav Anatolyev, Mikkel Sølvsten

Publication date: 18 August 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.07320

zbMATH Keywords

hypothesis testinglinear regressionordinary least squareshigh-dimensional modelsmany regressorsleave-out estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Inference in regression models with many regressors
• Global testing under sparse alternatives: ANOVA, multiple comparisons and the higher criticism
• Hypothesis testing in linear regression when \(k/n\) is large
• Hahn-Hausman test as a specification test
• Residual bootstrap tests in linear models with many regressors
• Almost unbiased variance estimation in linear regressions with many covariates
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Higher criticism for detecting sparse heterogeneous mixtures.
• Robust estimation with many instruments
• High-dimensional general linear hypothesis testing under heteroscedasticity
• Testing overidentifying restrictions with many instruments and heteroskedasticity
• Do firm effects drift? Evidence from Washington administrative data
• On robust regression with high-dimensional predictors
• SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
• ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS
• Asymptotic normality for chi‐bar‐square distributions
• Estimating Heteroscedastic Variances in Linear Models
• The Bias of Instrumental Variable Estimators of Simultaneous Equation Systems
• Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model
• Can we trust the bootstrap in high-dimension?
• Inference in Linear Regression Models with Many Covariates and Heteroscedasticity
• ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS
• The Impacts of Neighborhoods on Intergenerational Mobility II: County-Level Estimates*
• Consistent Specification Testing Via Nonparametric Series Regression
• Leave‐Out Estimation of Variance Components
• Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity
• INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS
• LIMIT THEOREMS FOR FACTOR MODELS
• Systemic Discrimination Among Large U.S. Employers
• Inference with Many Weak Instruments
• A Test for Slope Heterogeneity in Fixed Effects Models
• Instrumental variables estimation and inference in the presence of many exogenous regressors
• Lagrange multiplier type tests for slope homogeneity in panel data models
• Heteroscedastic One-Way ANOVA and Lack-of-Fit Tests
• Adjustment of an Inverse Matrix Corresponding to a Change in One Element of a Given Matrix
• On a Probability Distribution
• Heteroscedasticity-Robust Inference in Linear Regression Models With Many Covariates
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

This page was built for publication: Testing many restrictions under heteroskedasticity