A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866910133450178560 |
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| author | Pötscher, Benedikt M. Preinerstorfer, David |
| author_facet | Pötscher, Benedikt M. Preinerstorfer, David |
| contents | We revisit size controllability results in Pötscher and Preinerstorfer (2025) concerning heteroskedasticity robust test statistics in regression models. For the special, but important, case of testing a single restriction (e.g., a zero restriction on a single coefficient), we povide a necessary and sufficient condition for size controllability, whereas the condition in Pötscher and Preinerstorfer (2025) is, in general, only sufficient (even in the case of testing a single restriction). |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2412_17470 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics Pötscher, Benedikt M. Preinerstorfer, David Statistics Theory Econometrics Methodology 62J05, 62E15, 62G10 We revisit size controllability results in Pötscher and Preinerstorfer (2025) concerning heteroskedasticity robust test statistics in regression models. For the special, but important, case of testing a single restriction (e.g., a zero restriction on a single coefficient), we povide a necessary and sufficient condition for size controllability, whereas the condition in Pötscher and Preinerstorfer (2025) is, in general, only sufficient (even in the case of testing a single restriction). |
| title | A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics |
| topic | Statistics Theory Econometrics Methodology 62J05, 62E15, 62G10 |
| url | https://arxiv.org/abs/2412.17470 |