Showing 1 - 10 of 21
to invent tools and methodologies for effective inferences in panel unit root models. Simulations show that our approach …
Persistent link: https://www.econbiz.de/10010574097
This paper is concerned with the use of the bootstrap for statistics in spatial econometric models, with a focus on the test statistic for Moran’s I test for spatial dependence. We show that, for many statistics in spatial econometric models, the bootstrap can be studied based on...
Persistent link: https://www.econbiz.de/10011117413
This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or nonparametric specification as well as a test of exogeneity of the...
Persistent link: https://www.econbiz.de/10011117418
To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which...
Persistent link: https://www.econbiz.de/10011190729
This paper studies the problem of specification testing in partially identified models defined by moment (in)equalities. This problem has not been directly addressed in the literature, although several papers have suggested a test based on checking whether confidence sets for the parameters of...
Persistent link: https://www.econbiz.de/10011190735
We propose inverse probability weighted estimators for the distribution functions of the potential outcomes under the unconfoundedness assumption and apply the inverse mapping to obtain the quantile functions. We show that these estimators converge weakly to zero mean Gaussian processes. A...
Persistent link: https://www.econbiz.de/10010730121
We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel … well for panel data with a large number of cross-sectional units and a finite number of observations across time. …
Persistent link: https://www.econbiz.de/10010730130
In empirical research, one commonly aims to obtain evidence in favor of restrictions on parameters, appearing as an economic hypothesis, a consequence of economic theory, or an econometric modeling assumption. I propose a new theoretical framework based on the Kullback–Leibler information to...
Persistent link: https://www.econbiz.de/10010730142
A well-known difficulty in estimating conditional moment restrictions is that the parameters of interest need not be globally identified by the implied unconditional moments. In this paper, we propose an approach to constructing a continuum of unconditional moments that can ensure parameter...
Persistent link: https://www.econbiz.de/10011052203
We propose non-nested hypothesis tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...
Persistent link: https://www.econbiz.de/10011052221