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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

Resampling and bootstrap to assess the relevance of variables : a new algorithmic approach with applications to entrepreneurship data

Gimenez-Nadal, José Ignacio; Lafuente, Miguel; Molina, … - 2016

In this paper, we propose an algorithmic approach based on resampling and bootstrap techniques to measuring the …

Persistent link: https://www.econbiz.de/10011476420

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

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

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

Misspecification testing in a class of conditional distributional models

Rothe, Christoph; Wied, Dominik - 2012

; bootstrap ; wage distribution …

Persistent link: https://www.econbiz.de/10009531435

Testing dependence among serially correlated multi-category variables

Pesaran, M. Hashem (contributor); … - 2006

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies -- a problem that is particularly important in economics and...

Persistent link: https://www.econbiz.de/10003344606

Mostly harmless simulations? : on the internal validity of empirical Monte Carlo studies

Advani, Arun; Kitagawa, Toru; Słoczyński, Tymon - 2018

. They are better when selecting estimators that minimise mean squared error. However, using a simple bootstrap is at least …

Persistent link: https://www.econbiz.de/10011916665

Mostly harmless simulations? : on the internal validity of empirical Monte Carlo studies

Advani, Arun; Słoczyński, Tymon - 2013

In this paper we evaluate the premise from the recent literature on Monte Carlo studies that an empirically motivated simulation exercise is informative about the actual ranking of various estimators when applied to a particular problem. We consider two alternative designs and provide an...

Persistent link: https://www.econbiz.de/10010229930

Sensitivity of propensity score methods to the specifications

Zhao, Zhong (contributor) - 2005

Propensity score matching estimators have two advantages. One is that they overcome the curse of dimensionality of covariate matching, and the other is that they are nonparametric. However, the propensity score is usually unknown and needs to be estimated. If we estimate it nonparametrically, we...

Persistent link: https://www.econbiz.de/10003222502

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