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The Romano-Wolf multiple hypothesis correction in Stata
Clarke, Damian; Romano, Joseph P.; Wolf, Michael - 2019
When considering multiple hypothesis tests simultaneously, standard statistical techniques will lead to over-rejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this paper we discuss the Romano-Wolf multiple hypothesis correction, and...
Persistent link: https://www.econbiz.de/10012147332
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A permutation test and estimation alternatives for the Regression Kink design
Ganong, Peter; Jäger, Simon - 2014
The Regression Kink (RK) design is an increasingly popular empirical method, with more than 20 studies circulated using … these estimates, which typically use local linear regression, are highly sensitive to curvature in the underlying …. In contrast, our permutation test reinforces the asymptotic inference results of a recent Regression Discontinuity study …
Persistent link: https://www.econbiz.de/10010379273
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Practical significance, meta-analysis and the credibility of economics
Stanley, Tom D.; Doucouliagos, Chris - 2019
. Nonetheless, the routine application of meta-regression analysis and considerations of practical significance largely restore …
Persistent link: https://www.econbiz.de/10012034162
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Testing for restricted stochastic dominance
Davidson, Russell (contributor);  … - 2006
Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two … be used to perform bootstrap tests that can turn out to provide much improved reliability of inference compared with the … asymptotic tests so far proposed in the literature. -- stochastic dominance ; empirical likelihood ; bootstrap test …
Persistent link: https://www.econbiz.de/10003301664
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Calculating confidence intervals for continuous and discontinuous functions of estimated parameters
Ham, John C.; Woutersen, Tiemen - 2011
differentiable with non-zero, bounded derivatives. When the delta method is inappropriate, researchers usually first use a bootstrap …
Persistent link: https://www.econbiz.de/10009310161
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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Panels with nonstationary multifactor error structures
Kapetanios, George (contributor);  … - 2006
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference for stationary panel regressions with multifactor error...
Persistent link: https://www.econbiz.de/10003355571
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Inconsistencies in reported employment characteristics among employed stayers
Bassi, Francesca (contributor);  … - 2008
The paper deals with measurement error, and its potentially distorting role, in information on industry and professional status collected by labour force surveys. The focus of our analyses is on inconsistent information on these employment characteristics resulting from yearly transition...
Persistent link: https://www.econbiz.de/10003793541
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Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are crosssectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...
Persistent link: https://www.econbiz.de/10009545313
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Testing weak cross-sectional dependence in large panels
Pesaran, M. Hashem - 2012
This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent, using the exponent of cross-sectional dependence α, introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...
Persistent link: https://www.econbiz.de/10009534988