Simple Robust Testing of Regression Hypotheses: A Comment
3 Pages Posted: 15 Jan 2012
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: Suggested Citation
Abadir, Karim M. and Paruolo, Paolo 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
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