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Measuring the Core Inflation in Turkey with the SM-AR Model

Kulaksizoglu, Tamer - Volkswirtschaftliche Fakultät, … - 2015

This paper employs a new econometric technique to estimate the core inflation in Turkey measured as the shifting means in levels between 1955 and 2014. Using monthly series, we determine the number of shifts using the BIC, the hv-block cross-validation, the Lin-Teräsvirta parameter constancy...

Persistent link: https://www.econbiz.de/10011196023

A Note on DD Approach

Dinda, Soumyananda - Volkswirtschaftliche Fakultät, … - 2015

This paper attempts to assess the impact of treatment effect or programme applying difference in difference (DD) approach. This study also identifies that the DD estimators are biased under certain conditions.

Persistent link: https://www.econbiz.de/10011271302

Subset hypotheses testing and instrument exclusion in the linear IV regression

Doko Tchatoka, Firmin - Volkswirtschaftliche Fakultät, … - 2010

This paper explores the sensitivity of plug-in based subset tests to instrument exclusion in linear IV regression. Recently, identification-robust statistics based on plug-in principle have been developed for testing hypotheses specified on subsets of the structural parameters. However, their...

Persistent link: https://www.econbiz.de/10011107656

Identification-robust inference for endogeneity parameters in linear structural models

Doko Tchatoka, Firmin; Dufour, Jean-Marie - Volkswirtschaftliche Fakultät, … - 2012

parameters, we supply an asymptotic (identification-robust) distributional theory. Tests for partial exogeneity hypotheses (for …

Persistent link: https://www.econbiz.de/10011107877

Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values

Leeb, Hannes; Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2012

We point out that the ideas underlying some test procedures recently proposed for testing post-model-selection (and for some other test problems) in the econometrics literature have been around for quite some time in the statistics literature. We also sharpen some of these results in the...

Persistent link: https://www.econbiz.de/10011108819

On bootstrap validity for specification tests with weak instruments

Doko Tchatoka, Firmin - Volkswirtschaftliche Fakultät, … - 2013

This paper investigates the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) specification tests when instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better approximation than the usual asymptotic chi-square...

Persistent link: https://www.econbiz.de/10011109415

¿Cuál matriz de pesos espaciales?. Un enfoque sobre selección de modelos

Herrera Gómez, Marcos; Mur Lacambra, Jesús; Ruiz … - Volkswirtschaftliche Fakultät, … - 2011

In spatial econometrics, it is customary to specify a weighting matrix, the so-called W matrix. The decision is important because the choice of W matrix determines the rest of the analysis. However, the procedure is not well defined and, usually, reflects the priors of the user. In the paper, we...

Persistent link: https://www.econbiz.de/10011257790

Spurious Regressions and Near-Multicollinearity, with an Application to Aid, Policies and Growth

Chatelain, Jean-Bernard; Ralf, Kirsten - Volkswirtschaftliche Fakultät, … - 2012

In multiple regressions, explanatory variables with simple correlation coefficients with the dependent variable below 0.1 in absolute value (such as aid with economic growth) may have very large and statistically significant estimated parameters which are unfortunately �"outliers driven" and...

Persistent link: https://www.econbiz.de/10011261030

Can statistics do without artefacts?

Chatelain, Jean-Bernard - Volkswirtschaftliche Fakultät, … - 2010

This companion paper to Chatelain and Ralf (2012), “Spurious regressions with near-multicollinearity” put their results into the contexts of the history of statistics, of the current publication bias in applied sciences and of the substantive versus statistical significance debate. This...

Persistent link: https://www.econbiz.de/10011261074

Testing for partial exogeneity with weak identification

Doko Tchatoka, Firmin - Volkswirtschaftliche Fakultät, … - 2011

economic theory predicts may be endogenous. The researcher is interesting in testing the exogeneity of only one of them … fails, provided partial identification is satisfied. We present a Monte Carlo experiment which confirms our theory. We … illustrate our theory with the widely considered returns to education example. The results underscore: (1) how the use of …

Persistent link: https://www.econbiz.de/10011113347