Gossner, Olivier; Schlag, Karl H. - In: Journal of Econometrics 177 (2013) 1, pp. 75-84
We introduce tests for finite-sample linear regressions with heteroskedastic errors. The tests are exact, i.e., they have guaranteed type I error probabilities when bounds are known on the range of the dependent variable, without any assumptions about the noise structure. We provide upper bounds...