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Econometrica Vol. 70 No. 5 2002

Simple Robust Testing of Regression Hypotheses: A Comment

Karim M. Abadir1,2,3,4; Paolo Paruolo5,6

1 Tilburg University · 2 Imperial Valley College · 3 Imperial College of Business Studies · 4 University of York · 5 University of Insubria · 6 European Commission

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.

DOI
10.1111/1468-0262.00367
Volume
70
Issue
5
Pages
2097-2099
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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