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HAR Testing for Spurious Regression in Trend
Phillips, Peter C. B. - 2018
The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests...
Persistent link: https://www.econbiz.de/10012906697
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Local Identification of Nonparametric and Semiparametric Models
Chen, Xiaohong - 2012
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities...
Persistent link: https://www.econbiz.de/10013097986
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Local Identification of Nonparametric and Semiparametric Models
Chen, Xiaohong - 2011
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank...
Persistent link: https://www.econbiz.de/10013126074
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Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects
Zhang, Yonghui; Su, Liangjun; Phillips, Peter C. B. - 2011
the null hypothesis and a sequence of Pitman local alternatives. We prove test consistency and propose a bootstrap …
Persistent link: https://www.econbiz.de/10014176065
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Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure
Andrews, Donald W. K.; Cheng, Xu - 2011
This paper analyzes the properties of a class of estimators, tests, and confidence sets (CS's) when the parameters are not identified in parts of the parameter space. Specifically, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter theta....
Persistent link: https://www.econbiz.de/10014176550
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Inference for Parameters Defined by Moment Inequalities : A Recommended Moment Selection Procedure
Andrews, Donald W. K.; Jia, Panle - 2011
methods (i.e., the asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare these methods …
Persistent link: https://www.econbiz.de/10014179349
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Breakdown Point Theory for Implied Probability Bootstrap
Camponovo, Lorenzo; Otsu, Taisuke - 2011
This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the … uniform weight and implied probability bootstraps by analyzing behaviors of the bootstrap quantiles when outliers take … arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties …
Persistent link: https://www.econbiz.de/10014183251
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Second-Order Refinement of Empirical Likelihood for Testing Overidentifying Restrictions
Matsushita, Yukitoshi; Otsu, Taisuke - 2012
This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. We show that the empirical likelihood test is Bartlett correctable and suggest second-order refinement methods for the test based on the...
Persistent link: https://www.econbiz.de/10014183992
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A Simple Test for Identification in GMM Under Conditional Moment Restrictions
Bravo, Francesco; Escanciano, Juan Carlos; Otsu, Taisuke - 2011
This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global identification...
Persistent link: https://www.econbiz.de/10014184251
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Inference Based on Conditional Moment Inequalities
Andrews, Donald W. K.; Shi, Xiaoxia - 2010
In this paper, we propose an instrumental variable approach to constructing confidence sets (CS's) for the true parameter in models defined by conditional moment inequalities/equalities. We show that by properly choosing instrument functions, one can transform conditional moment...
Persistent link: https://www.econbiz.de/10014194189