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Improved Estimates of Using Luminosity as a Proxy for Economic Statistics: New Results and Estimates of Precision
Nordhaus, William D.; Chen, Xi - Cowles Foundation for Research in Economics, Yale University - 2012
Previous work has analyzed whether luminosity data contain useful information for estimating economic output and concluded that there was significant promise for regions with poor quality economic statistics. The present paper examines alternative measures of the precision of the estimates using...
Persistent link: https://www.econbiz.de/10010686929
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The Value of Luminosity Data as a Proxy for Economic Statistics
Chen, Xi; Nordhaus, William D. - Cowles Foundation for Research in Economics, Yale University - 2010
One of the pervasive issues in social and environmental research has been to improve the quality of socioeconomic data in developing countries. Because of the shortcoming of standard data sources, the present study examines luminosity (measures of nighttime lights) as a proxy for standard...
Persistent link: https://www.econbiz.de/10008462009
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Specification Tests for Nonlinear Dynamic Models
Kheifets, Igor - Cowles Foundation for Research in Economics, Yale University - 2014
bootstrap approximation that accounts for parameter estimation effects often ignored in practice. Monte Carlo experiments show …
Persistent link: https://www.econbiz.de/10010937901
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On Confidence Intervals for Autoregressive Roots and Predictive Regression
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2012
A prominent use of local to unity limit theory in applied work is the construction of confidence intervals for autogressive roots through inversion of the ADF t statistic associated with a unit root test, as suggested in Stock (1991). Such confidence intervals are valid when the true model has...
Persistent link: https://www.econbiz.de/10011015213
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Nonparametric Predictive Regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2012
A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips...
Persistent link: https://www.econbiz.de/10011213863
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Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
Phillips, Peter C.B.; Magdalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 2008
It is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial condition dominates the limit theory producing a faster rate of convergence, a limiting Cauchy...
Persistent link: https://www.econbiz.de/10005087357
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Optimal Bandwidth Choice for Interval Estimation in GMM Regression
Sun, Yixiao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008
nonparametric estimation where the focus is the nonparametric quantity itself and the choice rule balances asymptotic variance with … squared asymptotic bias. It turns out that the optimal bandwidth for interval estimation has a different expansion rate and is … typically substantially larger than the optimal bandwidth for point estimation of the standard errors. The new approach to …
Persistent link: https://www.econbiz.de/10005087368
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Nonlinearity and Temporal Dependence
Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Cowles Foundation for Research in Economics, Yale University - 2008
Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: beta-mixing and rho-mixing. We show that beta-mixing and rho-mixing with exponential decay are essentially equivalent...
Persistent link: https://www.econbiz.de/10005087377
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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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Local Polynomial Whittle Estimation of Long-range Dependence
Andrews, Donald W.K.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2001
The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...
Persistent link: https://www.econbiz.de/10005087380