In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Accepted for publication in the <I>Journal of Business & Economic Statistics</I>.<P> We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly...</p></i>

Item response theory is one of the modern test theories with applications in educational and psychological testing. Recent developments made it possible to characterize some desired properties in terms of a collection of manifest ones, so that hypothesis tests on these traits can, in principle,...

In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a meta-analysis. Specifically, we address the small sample behaviour of the OLS, the fixed effects regression and the mixed effects meta-estimators under three alternative...

By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...

In non-experimental sciences the errors associated with model misspecifications in primarystudies carry over to meta-analysis. We use Monte Carlo simulations to analyse the effects ofthese misspecifications on results of a meta-analysis using a meta-estimator that calculates asimple average...

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken ‘directly’ from the observed data. The procedure is useful when one wants to summarize the test results for several...

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...