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A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics

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  • Benedikt M. Potscher
  • David Preinerstorfer

Abstract

We revisit size controllability results in P\"otscher and Preinerstorfer (2021) concerning heteroskedasticity robust test statistics in regression models. For the special, but important, case of testing a single restriction (e.g., a zero restriction on a single coefficient), we povide a necessary and sufficient condition for size controllability, whereas the condition in P\"otscher and Preinerstorfer (2021) is, in general, only sufficient (even in the case of testing a single restriction).

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  • Benedikt M. Potscher & David Preinerstorfer, 2024. "A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics," Papers 2412.17470, arXiv.org.
    • Handle: RePEc:arx:papers:2412.17470
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    File URL: http://arxiv.org/pdf/2412.17470
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