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Consistent Testing for Stochastic Dominance: A Subsampling Approach
Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2002
and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We …
Persistent link: https://www.econbiz.de/10005593569
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Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
Andrews, Donald W.K.; Jia, Panle - Cowles Foundation for Research in Economics, Yale University - 2008
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/10009209702
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A Note on Minimax Testing and Confidence Intervals in Moment Inequality Models
Armstrong, Timothy B. - Cowles Foundation for Research in Economics, Yale University - 2014
This note uses a simple example to show how moment inequality models used in the empirical economics literature lead to general minimax relative efficiency comparisons. The main point is that such models involve inference on a low dimensional parameter, which leads naturally to a definition of...
Persistent link: https://www.econbiz.de/10011099829
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On the Choice of Test Statistic for Conditional Moment Inequalities
Armstrong, Timothy B. - Cowles Foundation for Research in Economics, Yale University - 2014
This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for conditional moment inequality models in the set identified case. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting...
Persistent link: https://www.econbiz.de/10011240392
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An Improved Bootstrap Test of Stochastic Dominance
Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2009
We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap … the variables are allowed to be residuals from nonparametric and semiparametric models. The proposed bootstrap tests have … in general. The improvement stems from the design of the bootstrap test whose limiting behavior mimics the discontinuity …
Persistent link: https://www.econbiz.de/10005011842
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On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests
Andrews, Donald W.K.; Buchinsky, Moshe - Cowles Foundation for Research in Economics, Yale University - 1997
This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors … desired level of accuracy. Accuracy is measured by the percentage deviation of the bootstrap standard error estimate …, confidence interval endpoint(s), test's critical value, or test's p-value based on B bootstrap simulations from the corresponding …
Persistent link: https://www.econbiz.de/10004990816
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Local Polynomial Whittle Estimation of Long-range Dependence
Andrews, Donald W.K.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2001
The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...
Persistent link: https://www.econbiz.de/10005087380
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A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2000
The widely used log-periodogram regression estimator of the long-memory parameter d proposed by Geweke and Porter-Hudak (1983) (GPH) has been criticized because of its finite-sample bias, see Agiakloglou, Newbold, and Wohar (1993). In this paper, we propose a simple bias-reduced log-periodogram...
Persistent link: https://www.econbiz.de/10005087383
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Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
Sun, Yixiao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2002
This paper studies fractional processes that may be perturbed by weakly dependent time series. The model for a perturbed fractional process has a components framework in which there may be components of both long and short memory. All commonly used estimates of the long memory parameter (such as...
Persistent link: https://www.econbiz.de/10005593344
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Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
Andrews, Donald W.K.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2002
The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...
Persistent link: https://www.econbiz.de/10004990777