A NECESSARY AND SUFFICIENT CONDITION FOR SIZE CONTROLLABILITY OF HETEROSKEDASTICITY ROBUST TEST STATISTICS

Econometric Theory 2026 Open access

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Authors: Benedikt M. Pötscher, David Preinerstorfer
DOI: 10.1017/s0266466626100541
Cited by: 0
References: 17

Abstract

We revisit size controllability results in Pötscher and Preinerstorfer (2025, Econometric Theory 41, 249–301) 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 provide a necessary and sufficient condition for size controllability, whereas the condition in Pötscher and Preinerstorfer (2025, Econometric Theory 41, 249–301) is, in general, only sufficient (even in the case of testing a single restriction).

Fields of Study & Subjects

Advanced Statistical Methods and Models Statistical Methods and Inference Advanced Statistical Process Monitoring

Publication details

Journal / source
Econometric Theory
Publisher
Cambridge University Press (CUP)
Pages
1–22
Publication date
3 September 2026
Language
EN