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Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency

Chang, Yoosoon - Cowles Foundation for Research in Economics, Yale University - 2000

observations. More specifically, we let each panel be driven by a general linear process which may be different across cross … then apply the bootstrap method to the approximated autoregressions to obtain the critical values for the panel unit root … tests, and establish the asymptotic validity of such bootstrap panel unit root tests under general conditions. The proposed …

Persistent link: https://www.econbiz.de/10005593302

Testing Additivity in Generalized Nonparametric Regression Models

Linton, Oliver; Gozalo, Pedro - Cowles Foundation for Research in Economics, Yale University - 1995

We propose a nonparametric test of conditional independence based on the empirical distribution function. The asymptotic null distribution is a mixture of chi-squares. A bootstrap procedure is proposed for calculating the critical values. Our test has power against alternatives at distance...

Persistent link: https://www.econbiz.de/10005762468

Cross-section Regression with Common Shocks

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2003

This paper considers regression models for cross-section data that exhibit cross-section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) and instrumental variables (IV) estimators in this context. The results of the paper...

Persistent link: https://www.econbiz.de/10005762510

Consistent Moment Selection Procedures for Generalized Method of Moments Estimation

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1997

This paper considers a generalized method of moments (GMM) estimation problem in which one has a vector of moment conditions, some of which are correct and some incorrect. The paper introduces several procedures for consistently selecting the correct moment conditions. The procedures also can...

Persistent link: https://www.econbiz.de/10005762615

Wald Revisited: The Optimal Level of Experimentation

Moscarini, Giuseppe; Smith, Lones - Cowles Foundation for Research in Economics, Yale University - 1998

This paper revisits Wald's (1947) sequential experimentation paradigm, now assuming that an impatient decision maker can run variable-size experiments each period at some increasing and strictly convex cost before finally choosing an irreversible action. We translate this natural discrete time...

Persistent link: https://www.econbiz.de/10005762616

Hybrid and Size-Corrected Subsample Methods

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2007

This paper considers the problem of constructing tests and confidence intervals (CIs) that have correct asymptotic size in a broad class of non-regular models. The models considered are non-regular in the sense that standard test statistics have asymptotic distributions that are discontinuous in...

Persistent link: https://www.econbiz.de/10005762689

Partially Linear Models with Unit Roots

Juhl, Ted; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002

This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in...

Persistent link: https://www.econbiz.de/10005762744

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

This paper is concerned with tests and confidence intervals for partially-identified parameters that are defined by moment inequalities and equalities. In the literature, different test statistics, critical value methods, and implementation methods (i.e., asymptotic distribution versus the...

Persistent link: https://www.econbiz.de/10005762779

Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity

Hong, Seung Hyun; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2005

This paper develops a linearity test that can be applied to cointegrating relations. We consider the widely used RESET specification test and show that when this test is applied to nonstationary time series its asymptotic distribution involves a mixture of noncentral chi^2 distributions, which...

Persistent link: https://www.econbiz.de/10005762803

Dating the Timeline of Financial Bubbles during the Subprime Crisis

Phillips, Peter C. B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2010

A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu and Yu (2010) and provide a technology for identifying bubble behavior and consistent...

Persistent link: https://www.econbiz.de/10008548960