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- W2396567184 abstract "normal as the sample size n tends to infinity. In the present paper, Edgeworth approximations with error o(n-1) are developed for the distribution functions of these test statistics under the assumption that the errors are normal. In both cases, adjustments to the asymptotic critical values are found to insure that the tests have correct size to a second order of approximation. Approximate local power functions are derived for the size-adjusted tests and the power loss due to the estimation of 2 is calculated. The second-order adjustments to the asymptotic distributions are relatively simple, but depend on the particular functional form for 2(9). Two examples, one involving heteroscedasticity and the other autocorrelation, are worked out in detail. These examples suggest that the size and power correction terms can be large even in very simple models where asymptotic theory might be expected to work well. It appears that the null rejection probabilities of the commonly proposed robust regression tests are often considerably greater than their nominal level. Moreover, the cost of not knowing Z can sometimes be substantial." @default.
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- W2396567184 date "1988-01-01" @default.
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- W2396567184 title "TESTS OF REGRESSION COEFFICIENTS1" @default.
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