Benedikt M. Pötscher, David Preinerstorfer
arXiv 23 Dec 2024 · Mathematics — Statistics Theory
arXiv:2412.17470 · PDF · DOI · OpenAlex · Extracted main text
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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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Pötscher, B. M. and Preinerstorfer, D (2025) Valid heteroskedasticity robust testing self | 0.839 | 78 | 6 | 59% |
| 2 | Pötscher, B. M. and Preinerstorfer, D (2018) Controlling the size of autocorrelation robust tests self | 0.638 | 27 | 4 | 26% |
| 3 | Eicker, F (1963) Asymptotic normality and consistency of the least squares estimators for families of linear regressions | 0.511 | 2 | 1 | 100% |
| 4 | Eicker, F (1967) Limit theorems for regressions with unequal and dependent errors | 0.511 | 2 | 1 | 100% |
| 5 | Pötscher, B. M. and Preinerstorfer, D (2023) How reliable are bootstrap-based heteroskedasticity robust tests? self | 0.511 | 2 | 1 | 100% |
| 6 | White, H (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity | 0.511 | 2 | 1 | 100% |
| 7 | Bell, R. M. and McCaffrey, D (2002) Bias reduction in standard errors for linear regression with multi-stage samples | 0.405 | 1 | 1 | 100% |
| 8 | Chesher, A. and Jewitt, I (1987) The bias of a heteroskedasticity consistent covariance matrix estimator | 0.405 | 1 | 1 | 100% |
| 9 | Chu, J., Lee, T.-H., Ullah, A. and Xu, H (2021) Exact distribution of the F-statistic under heteroskedasticity of unknown form for improved inference | 0.405 | 1 | 1 | 100% |
| 10 | Cribari-Neto, F (2004) Asymptotic inference under heteroskedasticity of unknown form | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 17 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Inference with few treated units | 0.405 | 1 | 1 |