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Testing Models of Low-Frequency Variability

Mueller, Ulrich - 2006

We develop a framework to assess how successfully standard times eries models explain low-frequency variability of a data series. The low-frequency information is extracted by computing a finite number of weighted averages of the original data, where the weights are low-frequency trigonometric...

Persistent link: https://www.econbiz.de/10012465990

A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

Newey, Whitney K. - 1986

This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance …

Persistent link: https://www.econbiz.de/10012477198

The Effect of Ignoring Heteroscedasticity on Estimates of the Tobit Model

Brown, Charles - 1983

We consider the sensitivity of the Tobit estimator to heteroscedasticity. Our single independent variable is a dummy …. Heteroscedasticity biases the Tobit estimate of the two means in opposite directions, so the bias in estimating their difference can be …

Persistent link: https://www.econbiz.de/10012478050

Heteroscedasticity Diagnostics Based on "Corrected" Standard Errors

Leamer, Edward E. - 1991

the location of the confidence sets to correct for heteroscedasticity. The vector of weight changes is similar to the … with heteroscedasticity issues …

Persistent link: https://www.econbiz.de/10012475447

What Are We Weighting For?

Solon, Gary - 2013

The purpose of this paper is to help empirical economists think through when and how to weight the data used in estimation. We start by distinguishing two purposes of estimation: to estimate population descriptive statistics and to estimate causal effects. In the former type of research,...

Persistent link: https://www.econbiz.de/10012459802

Estimating Autocorrelations in Fixed-Effects Models

Solon, Gary - 1984

series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly …'s method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first … facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an …

Persistent link: https://www.econbiz.de/10012477826

Inference with Weak Instruments

Andrews, Donald W.K. - 2005

This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics," which are...

Persistent link: https://www.econbiz.de/10012467097

Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments

Stock, James H. - 2018

An exciting development in empirical macroeconometrics is the increasing use of external sources of as-if randomness to identify the dynamic causal effects of macroeconomic shocks. This approach - the use of external instruments - is the time series counterpart of the highly successful strategy...

Persistent link: https://www.econbiz.de/10012453497

Encompassing Tests When No Model Is Encompassing

West, Kenneth D. - 2000

This paper considers regression-based tests for encompassing, when none of the models under consideration encompasses all the other models. For both in- and out-of-sample applications, I derive asymptotic distributions and propose feasible procedures to construct confidence intervals and test...

Persistent link: https://www.econbiz.de/10012471033

A Relationship Between Regression Tests and Volatility Tests of Market ncy

Frankel, Jeffrey A. - 1983

Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency and risk neutrality. Acomparison of the power of the two kinds of tests depends on what the alternative hypothesis is taken to be. By considering tests based on conditional...

Persistent link: https://www.econbiz.de/10012477997

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