THE FINITE-SAMPLE DISTRIBUTIONS OF HETEROSKEDASTICITY ROBUST WALD STATISTICS

被引：29

作者：

CHESHER, A

AUSTIN, G

机构：

[1] University of Bristol, Bristol

来源：

JOURNAL OF ECONOMETRICS | 1991年 / 47卷 / 01期

基金：

英国经济与社会研究理事会;

关键词：

D O I：

10.1016/0304-4076(91)90082-O

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The Imhof procedure is used to calculate the exact finite-sample distributions of alternative heteroskedasticity robust Wald-type tests of scalar linear hypothesis in the normal linear model. The tests are distinguished by the variance estimator that they use. These include the White-Eicker and jackknife estimators. The calculations demonstrate the importance of regression design in determining the quality of conventional first-order asymptotic approximations to the null distributions of the tests. © 1991.

引用

页码：153 / 173

页数：21

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