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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

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

A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables

Keane, Michael P.; Sauer, Robert M. - 2009

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

Persistent link: https://www.econbiz.de/10003824296

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 … for values of α in the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains … cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …

Persistent link: https://www.econbiz.de/10009534988

Inference with difference-in-differences revisited

Brewer, Mike; Crossley, Thomas F.; Joyce, Robert - 2013

A growing literature on inference in difference-in-differences (DiD) designs with grouped errors has been pessimistic about obtaining hypothesis tests of the correct size, particularly with few groups. We provide Monte Carlo evidence for three points: (i) it is possible to obtain tests of the...

Persistent link: https://www.econbiz.de/10010221878

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 RK in the last 5 years since the initial circulation of Card, Lee, Pei and Weber (2012). We document empirically that these estimates, which typically use local linear...

Persistent link: https://www.econbiz.de/10010379273

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

How to remove the testing bias in CoV-2 statistics

Wälde, Klaus - 2020

Background: Public health measures and private behaviour are based on reported numbers of SARS-CoV-2 infections. Some argue that testing influences the confirmed number of infections. Objectives/Methods: Do time series on reported infections and the number of tests allow one to draw conclusions...

Persistent link: https://www.econbiz.de/10012296595

The effect of high school employment on educational attainment : a conditional difference-in-differences approach

Buscha, Franz; Maurel, Arnaud; Page, Lionel; … - 2008

Using American panel data from the National Educational Longitudinal Study of 1988 (NELS:88) this paper investigates …

Persistent link: https://www.econbiz.de/10003755942

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 distributions. These tests have a null hypothesis of nondominance, with the advantage that, if this null is rejected, then all that is left is dominance. This also leads us to...

Persistent link: https://www.econbiz.de/10003301664