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Testing Distributional Inequalities and Asymptotic Bias

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2008

When Barret and Donald (2003) in Econometrica proposed a consistent test of stochastic dominance, they were silent about the asymptotic unbiasedness of their tests against √n-converging Pitman local alternatives. This paper shows that when we focus on first-order stochastic dominance, there...

Persistent link: https://www.econbiz.de/10005102090

Inference of Bidders’ Risk Attitudes in Ascending Auctions with Endogenous Entry, Second Version

Fang, Hanming; Tang, Xun - Department of Economics, University of Pennsylvania - 2011

Bidders’ risk attitudes have important implications for sellers seeking to maximize expected revenues. In ascending auctions, auction theory predicts bid distributions in Bayesian Nash equilibrium does not convey any information about bidders' risk preference. We propose a new approach for...

Persistent link: https://www.econbiz.de/10010543520

Bootstrapping Semiparametric Models with Single-Index Nuisance Parameters, Second Version

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2009

-index nuisance parameters. This paper proposes a bootstrap method of constructing confidence sets which has the following three … merits. First, the bootstrap is valid even when the single-index estimator follows cube-root asymptotics. Second, the … bootstrap method accommodates conditional heteroskedasticity. Third, the bootstrap does not require re-estimation of the single …

Persistent link: https://www.econbiz.de/10008500458

Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary

Linton1, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Department of Economics, University of Pennsylvania - 2008

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or … results show that our tests are indeed more powerful than the existing subsampling and recentered bootstrap. …

Persistent link: https://www.econbiz.de/10005061912

Testing Conditional Independence via Rosenblatt Transforms

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2007

simple wild bootstrap procedure. A special case of the proposed testing framework is to test the presence of quantile …

Persistent link: https://www.econbiz.de/10005020647

Efficient Estimation of Average Treatment Effects under Treatment-Based Sampling, Second Version

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2009

Nonrandom sampling schemes are often used in program evaluation settings to improve the quality of inference. This paper considers what we call treatment-based sampling, a type of standard stratified sampling where part of the strata are based on treatment status. This paper establishes...

Persistent link: https://www.econbiz.de/10008498069

Testing Predictive Ability and Power Robustification

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2009

One of the approaches to compare forecasts is to test whether the loss from a benchmark prediction is smaller than the others. The test can be embedded into the general problem of testing functional inequalities using a one-sided Kolmogorov-Smirnov functional. This paper shows that such a test...

Persistent link: https://www.econbiz.de/10008479571

Efficient Estimation of Average Treatment Effects under Treatment-Based Sampling

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2009

Persistent link: https://www.econbiz.de/10005109603

Two-Step Extremum Estimation with Estimated Single-Indices

Song, Kyungchul - Department of Economics, University of Pennsylvania - 2009

bootstrap method for conditional moment restrictions that are asymptotically valid in the presence of cube root …

Persistent link: https://www.econbiz.de/10005109604

Inference of Bidders’ Risk Attitudes in Ascending Auctions with Endogenous Entry

Fang, Hanming; Tang, Xun - Department of Economics, University of Pennsylvania - 2013

Bidders’ risk attitudes have key implications for choices of revenue-maximizing auction formats. In ascending auctions, bid distributions do not provide information about risk preference. We infer risk attitudes using distributions of transaction prices and participation decisions in ascending...

Persistent link: https://www.econbiz.de/10010699855