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Linton, Oliver; Steigerwald, Douglas G. - Cowles Foundation for Research in Economics, Yale University - 1995

Existing specification tests for conditional heteroskedasticity are derived under the assumption that the density of the innovation, or standardized error, is Gaussian, despite the fact that many recent empirical studies provide evidence that this density is not Gaussian. We obtain specification...

Persistent link: https://www.econbiz.de/10005087404

Tests of Independence in Separable Econometric Models

Brown, Donald J.; Wegkamp, Marten H. - Cowles Foundation for Research in Economics, Yale University - 2003

A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical...

Persistent link: https://www.econbiz.de/10005087367

Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood

Otsu, Taisuke; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2005

We propose non-nested tests for competing conditional moment resctriction models using a method of empirical likelihood. Our tests are based on the method of conditional empirical likelihood developed by Kitamura, Tripathi and Ahn (2004) and Zhang and Gijbels (2003). By using the conditional...

Persistent link: https://www.econbiz.de/10005087379

Tests of Independence in Separable Econometric Models: Theory and Application

Brown, Donald J.; Deb, Rahul; Wegkamp, Marten H. - Cowles Foundation for Research in Economics, Yale University - 2003

Persistent link: https://www.econbiz.de/10005087389

Nonparametric Estimation of a Polarization Measure

Anderson, Gordon; Linton, Oliver; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2009

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...

Persistent link: https://www.econbiz.de/10005011841

Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood

Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2008

We propose non-nested hypotheses 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/10005464018

The Block-block Bootstrap: Improved Asymptotic Refinements

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2002

The asymptotic refinements attributable to the block bootstrap for time series are not as large as those of the nonparametric iid bootstrap or the parametric bootstrap. One reason is that the independence between the blocks in the block bootstrap sample does not mimic the dependence structure of...

Persistent link: https://www.econbiz.de/10005593249

A Quantilogram Approach to Evaluating Directional Predictability

Linton, Oliver; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2004

In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a … given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the … stock index return data. The empirical results suggests some directional predictability in returns especially in mid range …

Persistent link: https://www.econbiz.de/10005593651

Threshold Regression with Endogeneity

Yu, Ping; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014

This paper studies estimation and specification testing in threshold regression with endogeneity. Three key results differ from those in regular models. First, both the threshold point and the threshold effect parameters are shown to be identified without the need for instrumentation. Second, in...

Persistent link: https://www.econbiz.de/10011096433

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, confidence intervals, and tests. For each of these problems, the paper provides a three-step method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the...

Persistent link: https://www.econbiz.de/10004990816

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