In this text, we review recent developments in econometrics from the viewpoint of statistical test theory. We first … identification problems may be present; (2) the construction of tests for nonparametric hypotheses, including procedures robust to … heteroskedasticity, non-normality or dynamic specification. We point out that these difficulties often originate from the ambition to …

tests proposed in Coudin and Dufour (2009, Econometrics J.) under a mediangale assumption. As a result, the estimators … distribution including no condition on the existence of moments allowing for heterogeneity (or heteroskedasticity) of unknown form … inherit strong robustness properties from their generating tests. Since the proposed estimators are based on maximizing a test …

evaluated and compared with traditional serial dependence tests in a simulation experiment. The procedures proposed are applied … la performance des bornes et comparons celle-ci à celle de tests d'autocorrélation traditionnels. Les procédures …

We discuss statistical inference problems associated with identification and testability in econometrics, and we … distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited … developments in this field, mainly from the viewpoint of building valid tests and confidence sets. The techniques discussed include …

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literatures. Although … that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap … a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on …

with fixed regressors. These tests are exact, distribution-free, robust against heteroskedasticity of unknown form, and …In this paper, we derive simple point-optimal sign-based tests in the context of linear and nonlinear regression models … they may be inverted to obtain confidence regions for the vector of unknown parameters. Since the point-optimal sign tests …