In this paper we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts.

In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of possibly nonlinear hypotheses on the coefficients...

Dans ce texte, nous analysons les developpements recents de l'econometrie a la lumiere de la theorie des tests statistiques.

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models.