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

Autor:	Leslie G. Godfrey, Chris D. Orme
Rok vydání:	2004
Předmět:	Economics and Econometrics Heteroscedasticity Statistics Linear regression Econometrics Regression analysis Sample (statistics) Finance Reliability (statistics) Mathematics
Zdroj:	Economics Letters. 82:281-287
ISSN:	0165-1765
DOI:	10.1016/j.econlet.2003.08.012
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2756e56f728205f557957aca3cdb8676 https://doi.org/10.1016/j.econlet.2003.08.012 Zobrazit plný text záznamu Full Text from ScienceDirect