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Commuters' Preferences for Fast and Reliable Travel
Koster, Paul; Koster, Hans - Tinbergen Instituut - 2013
We employ a semi-parametric estimation approach to analyse observed and unobserved heterogeneity in the value of … heterogeneity in preferences in a flexible way, meaning that we do not put any structure on how individual characteristics (such as …, we illustrate the estimation approach and find that there is substantial heterogeneity in the value of savings in travel …
Persistent link: https://www.econbiz.de/10011271951
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Adaptive Estimation of Autoregressive Models with Time-Varying Variances
Xu, Ke-Li; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2006
unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in …
Persistent link: https://www.econbiz.de/10005593399
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Adaptive Estimation of Autoregressive Models with Time-Varying Variances
Xu, Ke-Li; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2006
unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in …
Persistent link: https://www.econbiz.de/10005593627
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Adaptive Testing on a Regression Function at a Point
Armstrong, Timothy B. - Cowles Foundation for Research in Economics, Yale University - 2014
We consider the problem of inference on a regression function at a point when the entire function satisfies a sign or shape restriction under the null. We propose a test that achieves the optimal minimax rate adaptively over a range of Holder classes, up to a log log n term, which we show to be...
Persistent link: https://www.econbiz.de/10010934352
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A K-sample Homogeneity Test based on the Quantification of the p-p Plot
Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - Tinbergen Instituut - 2008
We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...
Persistent link: https://www.econbiz.de/10011255562
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>
Persistent link: https://www.econbiz.de/10011256012
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Tests of Independence in Separable Econometric Models
Brown, Donald J.; Wegkamp, Marten H. - Cowles Foundation for Research in Economics, Yale University - 2003
A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical...
Persistent link: https://www.econbiz.de/10005087367
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Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood
Otsu, Taisuke; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2005
We propose non-nested tests for competing conditional moment resctriction models using a method of empirical likelihood. Our tests are based on the method of conditional empirical likelihood developed by Kitamura, Tripathi and Ahn (2004) and Zhang and Gijbels (2003). By using the conditional...
Persistent link: https://www.econbiz.de/10005087379
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Tests of Independence in Separable Econometric Models: Theory and Application
Brown, Donald J.; Deb, Rahul; Wegkamp, Marten H. - Cowles Foundation for Research in Economics, Yale University - 2003
A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical...
Persistent link: https://www.econbiz.de/10005087389
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Adaptive Testing in ARCH Models
Linton, Oliver; Steigerwald, Douglas G. - Cowles Foundation for Research in Economics, Yale University - 1995
Existing specification tests for conditional heteroskedasticity are derived under the assumption that the density of the innovation, or standardized error, is Gaussian, despite the fact that many recent empirical studies provide evidence that this density is not Gaussian. We obtain specification...
Persistent link: https://www.econbiz.de/10005087404