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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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End-of-Sample Cointegration Breakdown Tests
Andrews, Donald W.K.; Kim, Jae-Young - Cowles Foundation for Research in Economics, Yale University - 2003
This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at …
Persistent link: https://www.econbiz.de/10005593528
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Inflationary Equilibrium in a Stochastic Economy with Independent Agents
Geanakoplos, John; Karatzas, Ioannis; Shubik, Martin; … - Cowles Foundation for Research in Economics, Yale University - 2009
constraints generate inflation. We study stochastic economies with fiat money, a central bank, one nondurable commodity, countably … and a fixed price for the commodity. Consequently, we investigate stationary equilibria with inflation, in which aggregate … equation for the rate of inflation continues to hold and the real rate of interest is equal to the common discount rate of the …
Persistent link: https://www.econbiz.de/10004979386
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Similar-on-the-Boundary Tests for Moment Inequalities Exist, But Have Poor Power
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2011
This paper shows that moment inequality tests that are asymptotically similar on the boundary of the null hypothesis exist, but have poor power. Hence, existing tests in the literature, which are asymptotically non-similar on the boundary, are not deficient. The results are obtained by first...
Persistent link: https://www.econbiz.de/10009200969
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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
This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for conditional moment inequality models in the set identified case. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting...
Persistent link: https://www.econbiz.de/10011240392
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Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators under Weak Dependence and Weak Conditions
Chen, Xiaohong; Christensen, Timothy M. - Cowles Foundation for Research in Economics, Yale University - 2014
We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e., sup-norm) convergence rate (n/log n)^{-p/(2p+d)} of Stone (1982), where d is the number of regressors and p is the smoothness of the regression function. The optimal...
Persistent link: https://www.econbiz.de/10011198597
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A Simple Test for Identification in GMM under Conditional Moment Restrictions
Bravo, Francesco; Escanciano, Juan Carlos; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2011
This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global...
Persistent link: https://www.econbiz.de/10008872207
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Empirical Likelihood for Nonparametric Additive Models
Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2011
Nonparametric additive modeling is a fundamental tool for statistical data analysis which allows flexible functional forms for conditional mean or quantile functions but avoids the curse of dimensionality for fully nonparametric methods induced by high-dimensional covariates. This paper proposes...
Persistent link: https://www.econbiz.de/10008917778
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Second-order Refinement of Empirical Likelihood for Testing  Overidentifying Restrictions
Matsushita, Yukitoshi; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2011
This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. We show that the empirical likelihood test is Bartlett correctable and suggest second-order refinement methods for the test based on the...
Persistent link: https://www.econbiz.de/10008925608
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Local Identification of Nonparametric and Semiparametric Models
Chen, Xiaohong; Chernozhukov, Victor; Lee, Sokbae; … - Cowles Foundation for Research in Economics, Yale University - 2011
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank...
Persistent link: https://www.econbiz.de/10009001017