t-Statistic Based Correlation and Heterogeneity Robust Inference

@inproceedings{Rustam2006tStatisticBC,
  title={t-Statistic Based Correlation and Heterogeneity Robust Inference},
  author={Rustam},
  year={2006}
}
We develop a general approach to robust inference about a scalar parameter of interest when the data is potentially heterogeneous and correlated in a largely unknown way. The key ingredient is the following result of Bakirov and Székely (2005) concerning the small sample properties of the standard t-test: For a significance level of 5% or lower, the t-test remains conservative for underlying observations that are independent and Gaussian with heterogenous variances. One might thus conduct… CONTINUE READING
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