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We propose a multivariate normality test against skew normal distributions using higher-order loglikelihood derivatives which is asymptotically equivalent to the likelihood ratio but only requires estimation under the null. Numerically, it is the supremum of the univariate skewness coefficient...
Persistent link: https://www.econbiz.de/10012544471
This paper introduces Stata commands [R] npivreg and [R] npivregcv, which implement nonparametric instrumental variable (NPIV) estimation methods without and with a cross-validated choice of tuning parameters, respectively. Both commands are able to impose monotonicity of the estimated function....
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This paper proposes a powerful alternative to the t-test of the null hypothesis that a coefficient in linear regression …. We propose a new maximal t-statistic that is formed from the regression of the outcome onto a maximally weighted linear …
Persistent link: https://www.econbiz.de/10014416040
OLS estimator in a rank-rank regression. We show that the probability limits of these estimators may be too large or too …
Persistent link: https://www.econbiz.de/10014416045
This paper gives identification and estimation results for quantile and average effects in nonseparable panel models, when the distribution of period specific disturbances does not vary over time. Bounds are given for interesting effects with discrete regressors that are strictly exogenous or...
Persistent link: https://www.econbiz.de/10003899091
random variable Y is median uncorrelated with a k-dimensional random vector X if and only if the slope from an LAD regression …
Persistent link: https://www.econbiz.de/10008660608