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An Improved Bootstrap Test of Stochastic Dominance
Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2009
We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap … the variables are allowed to be residuals from nonparametric and semiparametric models. The proposed bootstrap tests have … in general. The improvement stems from the design of the bootstrap test whose limiting behavior mimics the discontinuity …
Persistent link: https://www.econbiz.de/10005011842
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Consistent Testing for Stochastic Dominance: A Subsampling Approach
Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2002
and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We …
Persistent link: https://www.econbiz.de/10005593569
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On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests
Andrews, Donald W.K.; Buchinsky, Moshe - Cowles Foundation for Research in Economics, Yale University - 1997
This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors … desired level of accuracy. Accuracy is measured by the percentage deviation of the bootstrap standard error estimate …, confidence interval endpoint(s), test's critical value, or test's p-value based on B bootstrap simulations from the corresponding …
Persistent link: https://www.econbiz.de/10004990816
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Partially Linear Models with Unit Roots
Juhl, Ted; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002
This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in...
Persistent link: https://www.econbiz.de/10005762744
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A New Approach to Robust Inference in Cointegration
Jin, Sainan; Phillips, Peter C.B.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2005
A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference....
Persistent link: https://www.econbiz.de/10005593449
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A Quantilogram Approach to Evaluating Directional Predictability
Linton, Oliver; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2004
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/10005593651
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Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood
Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2008
derive the null distributions, validity of a bootstrap procedure, and local and global power properties of our tests. The …
Persistent link: https://www.econbiz.de/10005464018
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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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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
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On the Choice of Test Statistic for Conditional Moment Inequalities
Armstrong, Timothy B. - Cowles Foundation for Research in Economics, Yale University - 2014
results show that KS tests are preferred to CvM tests, and that a truncated variance weighting is preferred to bounded …
Persistent link: https://www.econbiz.de/10011240392