Simple Robust Testing of Regression Hypotheses: A Comment

3 Pages Posted: 15 Jan 2012

See all articles by Karim M. Abadir

Karim M. Abadir

Imperial College Business School

Paolo Paruolo

European Commission Joint Research Center; European Commission DG Joint Research Centre

Date Written: October 11, 2001

Abstract

The paper by Kiefer, Vogelsang and Bunzel (2000), KVB henceforth, provides an interesting unconventional application of functional limit theory to a conventional problem. In this note, we point out that the limiting distribution of the t^{∗} test proposed by KVB turns out to be equivalent to the asymptotic distribution of one of the statistics analysed by Abadir and Paruolo (1997), AP henceforth. The mixed-Normal random variables studied in AP and KVB are different, but they have identical distributions. The purpose of this note is to prove this equivalence analytically.

Suggested Citation

Abadir, Karim M. and Paruolo, Paolo, Simple Robust Testing of Regression Hypotheses: A Comment (October 11, 2001). Econometrica, Vol. 70, No. 5, p. 2097, September 2002. Available at SSRN: https://ssrn.com/abstract=1985506

Karim M. Abadir (Contact Author)

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://www3.imperial.ac.uk/portal/page?_pageid=61,629646&_dad=portallive&_schema=PORTALLIVE

Paolo Paruolo

European Commission Joint Research Center ( email )

1049
Belgium

European Commission DG Joint Research Centre ( email )

Via E.Fermi 2749
Ispra, Varese I-21027
Italy

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