Similar Search Results

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

Consistent testing for stochastic dominance under general sampling schemes

Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - London School of Economics (LSE) - 2003

Persistent link: https://www.econbiz.de/10010928652

A quantilogram approach to evaluating directional predictability

Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2003

In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference,...

Persistent link: https://www.econbiz.de/10010928727

Semiparametric regression analysis under imputation for missing response data

Hardle, Wolfgang; Linton, Oliver; Wang, Qihua - London School of Economics (LSE) - 2003

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted estimator are defined. All the estimators are proved to be asymptotically normal,...

Persistent link: https://www.econbiz.de/10010928736

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

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 Journal of Economic Dynamics & Control, 34(9), 1596-1609. We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...

Persistent link: https://www.econbiz.de/10011256012

Maximum score estimation of preference parameters for a binary choice model under uncertainty

Chen, Le-Yu; Sokbae 'Simon' Lee; Sung, Myung Jae - Centre for Microdata Methods and Practice (CEMMAP) - 2013

This paper develops maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations. The preference parameters are estimated in two stages: we estimate conditional expectations nonparametrically in...

Persistent link: https://www.econbiz.de/10010640964

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

Persistent link: https://www.econbiz.de/10005811463

Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative

Horowitz, Joel; Sokbae 'Simon' Lee - Centre for Microdata Methods and Practice (CEMMAP) - 2007

This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test...

Persistent link: https://www.econbiz.de/10005547926

Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary

Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - London School of Economics (LSE) - 2008

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...

Persistent link: https://www.econbiz.de/10010745043

1
2
3
4
5
6
7
8
9
10
Next
Last