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Comparing Nonparametric Regression Quantiles
Huse, Cristian - Econometric Society - 2004
"other goods" relationship, indicating an increase in heterogeneity for better off households, suggesting a "taste for …
Persistent link: https://www.econbiz.de/10005699609
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Commuters' Preferences for Fast and Reliable Travel
Koster, Paul; Koster, Hans - Tinbergen Instituut - 2013
We employ a semi-parametric estimation approach to analyse observed and unobserved heterogeneity in the value of … heterogeneity in preferences in a flexible way, meaning that we do not put any structure on how individual characteristics (such as …, we illustrate the estimation approach and find that there is substantial heterogeneity in the value of savings in travel …
Persistent link: https://www.econbiz.de/10011271951
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A K-sample Homogeneity Test based on the Quantification of the p-p Plot
Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - Tinbergen Instituut - 2008
We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...
Persistent link: https://www.econbiz.de/10011255562
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>
Persistent link: https://www.econbiz.de/10011256012
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Consistent Nonparametric Tests for Lorenz Dominance
Donald, Stephen G.; Barrett, Garry F. - Econometric Society - 2004
This paper proposes a test for Lorenz dominance. Given independent samples of income or other welfare related variable, we propose a test of the null hypothesis that the Lorenz curve for one population is dominated by the Lorenz curve for a second population. The test statistic is based on the...
Persistent link: https://www.econbiz.de/10005342152
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Controlling the danger of false discoveries in estimating multiple treatment effects
Wunderli, Dan - Institut für Volkswirtschaftslehre, … - 2012
I expose the risk of false discoveries in the context of multiple treatment effects. A false discovery is a nonexistent effect that is falsely labeled as statistically significant by its individual t-value. Labeling nonexistent effects as statistically significant has wide-ranging academic and...
Persistent link: https://www.econbiz.de/10010604133
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Fund-of-funds construction by statistical multiple testing methods
Wolf, Michael; Wunderli, Dan - Institut für Volkswirtschaftslehre, … - 2009
Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number of hedge funds from a large universe of candidate funds. We analyse whether such a selection can be successfully achieved by looking at the track records of the available funds alone, using advanced statistical...
Persistent link: https://www.econbiz.de/10008528448
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Consonance and the closure method in multiple testing
Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2009
Consider the problem of testing s hypotheses simultaneously. In order to deal with the multiplicity problem, the classical approach is to restrict attention to procedures that control the familywise error rate (FWE). Typically, it is known how to construct tests of the individual hypotheses, and...
Persistent link: https://www.econbiz.de/10008528450
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The Cusum Test for Parameter Change in Regression with ARCH Errors
Maekawa, Koichi; Sangyeol; Lee - Econometric Society - 2004
In this paper, we concentrate ourselves on Inclán and Tiao (1994)'s cusum test in regression models with ARCH errors. The ARCH and GARCH models have long been popular in financial time series analysis. For a general review, see Gouriéroux (1997).Inclán and Tiao (1994)'s cusum test was...
Persistent link: https://www.econbiz.de/10005130233
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Confidence bounds for the extremum determined by a quadratic regression
Lye, Jenny; Hirschberg, Joe - Econometric Society - 2004
A quadratic function is frequently used in regression to infer the existence of an extremum in a relationship. Examples abound in fields such as economics, epidemiology and environmental science. However, most applications provide no formal test of the extremum. Here we compare the Delta method...
Persistent link: https://www.econbiz.de/10005063624