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Testing identifying assumptions in fuzzy regression discontinuity designs

Arai, Yoichi; Hsu, Yu-Chin; Kitagawa, Toru; Mourifié, … - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 1-28

We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD‐validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the...

Persistent link: https://www.econbiz.de/10012807725

Inference in dynamic stochastic general equilibrium models with possible weak identification

Qu, Zhongjun - In: Quantitative economics : QE ; journal of the … 5 (2014) 2, pp. 457-494

This paper considers inference in log-linearized dynamic stochastic general equilibrium (DSGE) models with weakly (including un-) identified parameters. The framework allows for analysis using only part of the spectrum, say at the business cycle frequencies. First, we characterize weak...

Persistent link: https://www.econbiz.de/10011757270

Inference on heterogeneous treatment effects in high-dimensional dynamic panels under weak dependence

Semenova, Vira; Goldman, Matt; Chernozhukov, Victor; … - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 471-510

a high‐dimensional parameter in both homogeneous cross‐sectional and unit‐heterogeneous dynamic panel data settings. In … dependent time series and panel data. This method "leaves out the neighbors" when fitting nuisance components, and we …‐dimensional. In heterogeneous panel data settings, we model the unobserved unit heterogeneity as a weakly sparse deviation from …

Persistent link: https://www.econbiz.de/10014308573

Improved inference on the rank of a matrix

Chen, Qihui; Fang, Zheng - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1787-1824

This paper develops a general framework for conducting inference on the rank of an unknown matrix Π0. A defining feature of our setup is the null hypothesis of the form . The problem is of first‐order importance because the previous literature focuses on by implicitly assuming away , which...

Persistent link: https://www.econbiz.de/10012202917

Specification tests for non-Gaussian maximum likelihood estimators

Fiorentini, Gabriele; Sentana, Enrique - In: Quantitative economics : QE ; journal of the … 12 (2021) 3, pp. 683-742

We propose generalized DWH specification tests which simultaneously compare three or more likelihood-based estimators in multivariate conditionally heteroskedastic dynamic regression models. Our tests are useful for Garch models and in many empirically relevant macro and finance applications...

Persistent link: https://www.econbiz.de/10012598494

Rationalizing rational expectations : characterizations and tests

D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - In: Quantitative economics : QE ; journal of the … 12 (2021) 3, pp. 817-842

In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different data sets that cannot be matched....

Persistent link: https://www.econbiz.de/10012598508

Sensitivity analysis using approximate moment condition models

Armstrong, Timothy B.; Kolesár, Michal - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 77-108

We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account the...

Persistent link: https://www.econbiz.de/10012432811

Specification testing in random coefficient models

Breunig, Christoph; Hoderlein, Stefan - In: Quantitative economics : QE ; journal of the … 9 (2018) 3, pp. 1371-1417

In this paper, we suggest and analyze a new class of specification tests for random coefficient models. These tests allow to assess the validity of central structural features of the model, in particular linearity in coefficients, generalizations of this notion like a known nonlinear functional...

Persistent link: https://www.econbiz.de/10011994708

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

Persistent link: https://www.econbiz.de/10012042424

Estimating and testing continuous-time models in finance : the role of transition densities

Aït-Sahalia, Yacine - In: Annual review of financial economics 1 (2009), pp. 341-359

Persistent link: https://www.econbiz.de/10003924504