In Fisher's Net: Exact F-Tests in Semi-Parametric Models with Exchangeable Errors
30 Pages Posted: 18 Sep 2014
Date Written: September 10, 2014
We consider testing about the slope parameter β when Y - X β is assumed to be an exchangeable process conditionally on X. This framework encompasses the semi-parametric linear regression model. We show that the usual Fisher’s procedure have non trivial exact rejection bound under the null hypothesis R β = ϒ. This bound derives from the Markov inequality and a close inspection of multivariate moments of self-normalized, self-centered, exchangeable processes. Improvement by higher order versions of the Markov inequality are also presented. The bounds do not require the existence of any moment, so they remain valid even if TCL do not apply. We generalize the framework to multivariate and order-1 auto-regressive models with exogenous variables.
Keywords: Exact testing, linear model, AR(1) model, multivariate model, exchangeable process
JEL Classification: C01, C12, C14
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