We give two new approaches to testing a conditional form of exogeneity. This conditionensures unconfoundedness and identication of eects of interest in structural systems. Asthese approaches do not rely on the absence of causal eects of treatment under the null,they complement earlier methods of...

Rationality places strong restrictions on individual consumer behavior. This paper is concerned with assessing the validity of the integrability constraints imposed by standard utility maximization, arising in classical consumer demand analysis. More specifically, we characterize the testable...

We give two new approaches to testing a conditional form of exogeneity. This condition ensures unconfoundedness and identification of effects of interest in structural systems. As these approaches do not rely on the absence of causal effects of treatment under the null, they complement earlier...

Consider a nonseparable model Y=R(X,U) where Y and X are observed, while U is unobserved and conditionally independent of X. This paper provides the first nonparametric test of whether R takes the form of a transformation model, meaning that Y is monotonic in the sum of a function of X plus a...

This paper is concerned with testing rationality restrictions using quantile regression methods. Specifically, we consider negative semidefiniteness of the Slutsky matrix, arguably the core restriction implied by utility maximization. We consider a heterogeneous population characterized by a...

This paper proposes a method for comparing and combining conditional quantile forecasts in an out-of-sample framework. We construct a Conditional Quantile Forecast Encompassing (CQFE) test as a Wald-type test of superior predictive ability. Rejection of CQFE provides a basis for combination of...

The causal notions embodied in the concept of Granger causality have been argued to belong to a different category than those of Judea Pearl's Causal Model, and so far their relation has remained obscure. Here, we demonstrate that these concepts are in fact closely linked by showing how each...

The assumption of conditional symmetry is often invoked to validate adaptive estimation and consistent estimation of ARCH/GARCH models by quasi maximum likelihood. Imposing conditional symmetry can increase the efficiency of bootstraps if the symmetry assumption is valid. This paper proposes a...

We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity,...

Monte Carlo experiments establish that the usual "t-statistic" used for testing for first-order serial correlation with artificial regressions is far from being distributed as a Student's t in small samples. Rather, it is badly biased in both mean and variance and results in grossly misleading...