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SUMMARY:Valid Heteroskedasticity Robust Testing - Benedikt Pötscher (Univ
 ersity of Vienna)
DTSTART:20241025T130000Z
DTEND:20241025T140000Z
UID:TALK222049@talks.cam.ac.uk
CONTACT:Qingyuan Zhao
DESCRIPTION:Tests based on heteroskedasticity robust standard errors are a
 n important technique in econometric practice. Choosing the right critical
  value\, however\, is not simple at all: conventional critical values base
 d on asymptotics often lead to severe size distortions\; and so do existin
 g \nadjustments including the bootstrap. To avoid these issues\, we sugges
 t to use smallest size-controlling critical values\, the generic existence
  of which we prove in this article for the commonly used test statistics. 
 Furthermore\, sufficient and often also necessary conditions for their exi
 stence are given that are easy to check. Granted their existence\, these c
 ritical values are the canonical choice: larger critical values result in 
 unnecessary power loss\, whereas smaller critical values lead to over-reje
 ctions under the null hypothesis\, make spurious discoveries more likely\,
  and thus are invalid. We suggest algorithms to numerically determine the 
 proposed critical values and provide implementations in accompanying softw
 are. Finally\, we numerically study the behavior of the proposed testing p
 rocedures\, including their power properties.
LOCATION:Centre for Mathematical Sciences MR12\, CMS
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