Tests for regression models with heteroskedasticity of unknown form

Evidence is presented on the finite sample performance of tests that are robust to heteroskedasticity. In contrast to previous work, the focus is on testing several restrictions on the coefficients of a linear regression model, rather than on a quasi-t test of a single restriction. Tests based upon different forms of a heteroskedasticity-consistent covariance matrix estimator are examined, as are the relative merits of asymptotic and wild bootstrap critical values. As an alternative to such tests, procedures using the classical F statistic are investigated. These procedures use single and double wild bootstraps to assess the significance of the F statistic. The costs of using heteroskedasticity-robust tests when the errors are actually homoskedastic are discussed. (C) 2005 Elsevier B.V. All rights reserved.