Benedikt M. Pötscher

A NECESSARY AND SUFFICIENT CONDITION FOR SIZE CONTROLLABILITY OF HETEROSKEDASTICITY ROBUST TEST STATISTICS

We revisit size controllability results in Pötscher and Preinerstorfer (2025, Econometric Theory 41, 249–301) concerning heteroskedasticity robust test statistics in regression models. For the special, but important, case of testing a single restriction (e.g., a zero restriction...