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A practical two-step method for testing moment inequalities
Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - 2014 - Revised version, April 2014
This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are "negative." A...
Persistent link: https://www.econbiz.de/10010354626
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Consistent estimation with many moment inequalities
Menzel, Konrad - In: Journal of Econometrics 182 (2014) 2, pp. 329-350
In this paper, we consider estimation of the identified set when the number of moment inequalities is large relative to sample size, possibly infinite. Many applications in the recent literature on partially identified problems have this feature, including dynamic games, set-identified IV...
Persistent link: https://www.econbiz.de/10010906795
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Revealed Preferences in a Heterogeneous Population
Hoderlein, Stefan; Stoye, Jörg - In: The Review of Economics and Statistics 96 (2014) 2, pp. 197-213
This paper explores the empirical content of the weak axiom of revealed preference (WARP) for repeated cross-sections. In a heterogeneous population, the fraction of consumers who violate WARP is not point identified but can be bounded. These bounds, as well as some nonparametric refinements,...
Persistent link: https://www.econbiz.de/10010835695
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A consistent nonparametric test of parametric regression functional form in fixed effects panel data models
Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of Econometrics 178 (2014) P1, pp. 167-179
test is a consistent test. We also establish the asymptotic validity of a bootstrap procedure which is used to better …
Persistent link: https://www.econbiz.de/10010730130
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Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory
Lavergne, Pascal; Patilea, Valentin - In: Journal of Econometrics 177 (2013) 1, pp. 47-59
restrictions on parameters as well as a bootstrap technique to account for the bandwidth’s influence. Our new methods are simple to …
Persistent link: https://www.econbiz.de/10010703138
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Bootstrapping realized multivariate volatility measures
Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of Econometrics 172 (2013) 1, pp. 49-65
We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as … realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is … superior to the existing first-order asymptotic theory. Nevertheless, and contrary to the existing results in the bootstrap …
Persistent link: https://www.econbiz.de/10011052229
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Ageing Gracefully? A Bootstrap Analysis of Poverty Among Pensioners Using Evidence from the PACO Databases
Heinrich, Georges - C.E.P.R. Discussion Papers - 1998
In 1998 Hungary embarked on a course of comprehensive pension reform. The reforms are likely to change the distribution of incomes of future generations. The purpose of this paper is two-fold. From a policy point of view, we analyse poverty and income inequality among pensioners in Hungary...
Persistent link: https://www.econbiz.de/10005791337
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Bootstrapping factor models with cross sectional dependence
Gonçalves, Sílvia; Perron, Benoit - In: Journal of econometrics 218 (2020) 2, pp. 476-495
Persistent link: https://www.econbiz.de/10012483168
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Bootstrapping factor-augmented regression models
Gonçalves, Sílvia; Perron, Benoit - In: Journal of Econometrics 182 (2014) 1, pp. 156-173
This paper proposes and theoretically justifies bootstrap methods for regressions where some of the regressors are … Ludvigson and Ng (2011)). We consider general residual-based bootstrap methods and provide a set of high-level conditions on the … bootstrap residuals and on the idiosyncratic errors such that the bootstrap distribution of a rotated OLS estimator is …
Persistent link: https://www.econbiz.de/10011052190
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A practical two-step method for testing moment inequalities
Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 5, pp. 1979-2002
Persistent link: https://www.econbiz.de/10011556973