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arXiv · 2412.17470

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

Benedikt M. Pötscher·David Preinerstorfer
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Abstract

We revisit size controllability results in P\"otscher and Preinerstorfer (2025) 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 (2025) is, in general, only sufficient (even in the case of testing a single restriction).

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Benedikt M. Pötscher, David Preinerstorfer. 2024-12-23. A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics. https://arxiv.org/abs/2412.17470

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