Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189086 
Year of Publication: 
1985
Series/Report no.: 
Queen's Economics Department Working Paper No. 616
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
We develop simple procedures to test for omitted variables and perform other tests in regression directions, which are asymptotically valid in the presence of heteroskedasticity of unknown form. We examine the asymptotic behaviour of these tests, and use Edgeworth approximations to study their approximate finite-sample performance. We also present results from several Monte Carlo experiments, which suggest that one family of these tests should always be used in preference to the other.
Subjects: 
heteroskedasticity-robust test
specification test
Edgeworth approximation
Document Type: 
Working Paper

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