Dufour, Jean-Marie; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008
In this paper, we derive simple point-optimal sign-based tests in the context of linear and nonlinear regression models with fixed regressors. These tests are exact, distribution-free, robust against heteroskedasticity of unknown form, and they may be inverted to obtain confidence regions for...