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

Leslie G. Godfrey; Chris D. Orme

doi:10.1016/j.econlet.2003.08.012

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

Leslie G. Godfrey, Chris D. Orme

Economics

University of York

Research output: Contribution to journal › Article › peer-review

Abstract

It is argued that the two approaches that have been suggested for improving the behaviour of heteroskedasticity-robust quasi- t tests must be combined to achieve reliability in the case of joint tests: neither is by itself sufficient. © 2003 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	281-287
Number of pages	6
Journal	Economics Letters
Volume	82
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2003.08.012
Publication status	Published - Feb 2004

Keywords

Heteroskedasticity-robust tests
Regression models
Wild bootstrap

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10.1016/j.econlet.2003.08.012

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

abstract = "It is argued that the two approaches that have been suggested for improving the behaviour of heteroskedasticity-robust quasi- t tests must be combined to achieve reliability in the case of joint tests: neither is by itself sufficient. {\textcopyright} 2003 Elsevier B.V. All rights reserved.",

keywords = "Heteroskedasticity-robust tests, Regression models, Wild bootstrap",

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year = "2004",

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AU - Orme, Chris D.

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AB - It is argued that the two approaches that have been suggested for improving the behaviour of heteroskedasticity-robust quasi- t tests must be combined to achieve reliability in the case of joint tests: neither is by itself sufficient. © 2003 Elsevier B.V. All rights reserved.

KW - Heteroskedasticity-robust tests

KW - Regression models

KW - Wild bootstrap

U2 - 10.1016/j.econlet.2003.08.012

DO - 10.1016/j.econlet.2003.08.012

M3 - Article

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VL - 82

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JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

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

Abstract

Keywords

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