A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics
Statistics Theory
2026-04-17 v3 Econometrics
Methodology
Statistics Theory
Abstract
We revisit size controllability results in P\"otscher and Preinerstorfer (2025) concerning heteroskedasticity robust test statistics in regression models. For the special, but important, case of testing a single restriction (e.g., a zero restriction on a single coefficient), we povide a necessary and sufficient condition for size controllability, whereas the condition in P\"otscher and Preinerstorfer (2025) is, in general, only sufficient (even in the case of testing a single restriction).
Keywords
Cite
@article{arxiv.2412.17470,
title = {A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics},
author = {Benedikt M. Pötscher and David Preinerstorfer},
journal= {arXiv preprint arXiv:2412.17470},
year = {2026}
}