Showing 1 - 10 of 26
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
Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions of the Smets-Wouters New Keynesian model of the US postwar period. We compare these with tests based on direct inference (using the Likelihood Ratio), and on the Del...
Persistent link: https://www.econbiz.de/10009563550
We provide a consistent specification test for GARCH(1,1) models based on a test statistic of Cramér-von Mises type. Since the limit distribution of the test statistic under the null hypothesis depends on unknown quantities in a complicated manner, we propose a model-based...
Persistent link: https://www.econbiz.de/10011490275
With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a...
Persistent link: https://www.econbiz.de/10011317836
Bootstrapping non-parametric models is a fairly complicated exercise which is associated with implicit assumptions or requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade; however, some of its assumptions and properties are...
Persistent link: https://www.econbiz.de/10009583705
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
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
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
We propose new over-identifying restriction (OIR) tests that are robust to heteroskedasticity and serial correlations of unknown form. The proposed tests do not require consistent estimation of the asymptotic covariance matrix and hence avoid choosing the bandwidth in nonparametric kernel...
Persistent link: https://www.econbiz.de/10010785290
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