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hypothesis testing and interval estimation are discussed, with central limit theorems for feasibly bias-corrected estimates …
Persistent link: https://www.econbiz.de/10011171755
In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference,...
Persistent link: https://www.econbiz.de/10010928727
We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted estimator are defined. All the estimators are proved to be asymptotically normal,...
Persistent link: https://www.econbiz.de/10010928736
This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and … Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator … on estimation of unknown quantities in the limiting distribution and show that our method yields consistent inference in …
Persistent link: https://www.econbiz.de/10010745188
-range dependent this method of estimation becomes more attractive than Least Squares, since the latter can be neither root …
Persistent link: https://www.econbiz.de/10011071140
We propose a smoothed least squares estimator of the parameters of a threshold regression model. Our model generalizes that considered in Hansen (2000) to allow the thresholding to depend on a linear index of observed regressors, thus allowing discrete variables to enter. We also do not assume...
Persistent link: https://www.econbiz.de/10011071260
The Story of the Hats is a puzzle in social epistemology. It describes a situation in which a group of rational agents with common priors and common goals seems vulnerable to a Dutch book if they are exposed to different information and make decisions independently. Situations in which this...
Persistent link: https://www.econbiz.de/10010746712
We consider testing the null hypothesis of no spatial autocorrelation against the alternative of first order spatial autoregression. A Wald test statistic has good first order asymptotic properties, but these may not be relevant in small or moderate-sized samples, especially as (depending on...
Persistent link: https://www.econbiz.de/10011126356
Persistent link: https://www.econbiz.de/10010928652
There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...
Persistent link: https://www.econbiz.de/10010928673