Approximate Power Functions for Some Robust Tests of Regression Coefficients

DOI10.2307/1911356MaRDI QIDQ3792088zbMATH OpenOpenAlexFDO

Authors 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

approximate local power functionsasymptotic critical valuesautocorrelationdeficiencyEdgeworth approximationserror covariance matrixgeneralized least squaresheteroscedasticityhigh dimensionlocal alternativeslow dimensionordinary least squares slope coefficientsratios of estimated slope coefficients to their estimated standard errorsrobust estimaterobust testssize-adjusted tests

Mathematics Subject Classification ID

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

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Cited in

(24)

• Resampling methods for tests in regression models with autocorrelated errors
• Alternative size corrections for some GLS test statistics. The case of the AR(1) model
• How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
• Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors
• Robust heteroskedasticity-robust tests
• Small sample properties of the power function of \(F\) tests in two-way error component regression.
• A small sample correction for tests of hypotheses on the cointegrating vectors
• Heteroskedasticity-robust inference in finite samples
• On the sensitivity of the usual t- and F-tests to covariance misspecification
• The state of econometrics after John W. Pratt, Robert Schlaifer, Brian Skyrms, and Robert L. Basmann
• Second-order refinements for \(t\)-ratios with many instruments
• On the problem of inference for inequality measures for heavy-tailed distributions
• Difference in difference meets generalized least squares: higher order properties of hypotheses tests
• Accurately sized test statistics with misspecified conditional homoskedasticity
• Bootstrap validity for the score test when instruments may be weak
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• A clarifying note on the effects of linear approximation on hypothesis testing
• The exact power function of an exact test of a regression model against multiple separate alternatives
• POWER FUNCTION FOR INVERSE GAUSSIAN REGRESSION MODELS
• Second order approximation in a linear regression with heteroskedasticity of unknown form
• Shrinkage of variance for minimum distance based tests
• Estimation in the presence of heteroskedasticity of unknown form: a Lasso-based approach
• Improved test statistics for multivariate regression
• Valid heteroskedasticity robust testing

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