On the sensitivity of the usual t- and F-tests to covariance misspecification

Journal of Econometrics

Volumn 95, Issue 1, 2000, Pages 157-176

  Banerjee, Anurag N ^a   Magnus, Jan R ^b  

^a QUEEN'S UNIVERSITY BELFAST   (United Kingdom)

^b TILBURG UNIVERSITY   (Netherlands)

Author keywords

Autocorrelation; F test; Least squares; Linear regression; Robustness; Sensitivity; t test

Indexed keywords

EID: 0006211640     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00034-2     Document Type: Article

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