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Equivalence of the Higher-order Asymptotic Efficiency of k-step and Extremum Statistics

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2000

It is well known that a one-step scoring estimator that starts from any N^{1/2}-consistent estimator has the same first-order asymptotic efficiency as the maximum likelihood estimator. This paper extends this result to k-step estimators and test statistics for k = 1, higher-order asymptotic...

Persistent link: https://www.econbiz.de/10004990703

Optimal Inventory Policies When Sales Are Discretionary

Scarf, Herbert E. - Cowles Foundation for Research in Economics, Yale University - 2000

Inventory models customarily assume that demand is fully satisfied if sufficient stock is available. We analyze the form of the optimal inventory policy if the inventory manager can choose to meet a fraction of the demand. Under classical conditions we show that the optimal policy is again of...

Persistent link: https://www.econbiz.de/10004990717

LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities

Cho, Jin Seo; Han, Chirok; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2009

Least absolute deviations (LAD) estimation of linear time-series models is considered under conditional heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density condition for the errors that is required in standard LAD...

Persistent link: https://www.econbiz.de/10004998317

Infinite Density at the Median and the Typical Shape of Stock Return Distributions

Han, Chirok; Cho, Jin Seo; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2009

Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on L_1 estimation asymptotics in conjunction with non-parametric kernel density estimation...

Persistent link: https://www.econbiz.de/10004998320

The Impact of a Hausman Pretest on the Size of Hypothesis Tests

Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2008

This paper investigates the size properties of a two-stage test in the linear instrumental variables model when in the first stage a Hausman (1978) specification test is used as a pretest of exogeneity of a regressor. In the second stage, a simple hypothesis about a component of the structural...

Persistent link: https://www.econbiz.de/10005087359

Randomized Sign Test for Dependent Observations on Discrete Choice under Risk

Bracha, Anat; Gray, Jeremy; Ibragimov, Rustam; Nadler, Boaz - Cowles Foundation for Research in Economics, Yale University - 2005

This paper proposes nonparametric statistical procedures for analyzing discrete choice models of affective decision making. We make two contributions to the literature on behavioral economics. Namely, we propose a procedure for eliciting the existence of a Nash equilibrium in an intrapersonal,...

Persistent link: https://www.econbiz.de/10005087369

Higher-order Improvements of the Parametric Bootstrap for Markov Processes

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2001

-t, parametric bootstrap confidence intervals for Markov time series processes. These bounds show that the parametric bootstrap for … comparable to those obtained by the parametric and nonparametric bootstrap for iid data and are better than those obtained by the … block bootstrap for time series. Additional results are given for Wald-based confidence regions. The paper also shows that k …

Persistent link: https://www.econbiz.de/10005093948

Applications of Subsampling, Hybrid, and Size-Correction Methods

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2007

This paper analyzes the properties of subsampling, hybrid subsampling, and size-correction methods in two non-regular models. The latter two procedures are introduced in Andrews and Guggenberger (2005b). The models are non-regular in the sense that the test statistics of interest exhibit a...

Persistent link: https://www.econbiz.de/10005093953

Optimal Changepoint Tests for Normal Linear Regression

Andrews, Donald W.K.; Lee, Inpyo; Ploberger, Werner - Cowles Foundation for Research in Economics, Yale University - 1992

normal linear multiple regression model with known variance. Optimal tests for multiple changepoints are also derived. Power …

Persistent link: https://www.econbiz.de/10005634710

Vector Autoregression and Causality: A Theoretical Overview and Simulation Study

Toda, Hiro Y.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991

This paper provides a theoretical overview of Wald tests for Granger causality in levels vector autoregressions (VAR's) and Johansen-type error correction models (ECM's) for VAR models the results for inference are not encouraging. The limit theory typically involves nonstandard distributions...

Persistent link: https://www.econbiz.de/10005634733