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On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates
Rodrigues, Paulo M. M.; Rubia, Antonio - EconWPA - 2004
Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the...
Persistent link: https://www.econbiz.de/10005556282
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Testing in a random effects panel data model with spatially correlated error components and spatially lagged dependent variables
He, Ming; Lin, Kuan-Pin - In: Econometrics 3 (2015) 4, pp. 761-796
We propose a random effects panel data model with both spatially correlated error components and spatially lagged dependent variables. We focus on diagnostic testing procedures and derive Lagrange multiplier (LM) test statistics for a variety of hypotheses within this model. We first construct...
Persistent link: https://www.econbiz.de/10011755310
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, Jan; Pleus, Milan; Poldermans, Rutger - In: Econometrics 5 (2017) 1, pp. 1-54
Studies employing Arellano-Bond and Blundell-Bond generalized method of moments (GMM) estimation for linear dynamic panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between many different possible implementations of these...
Persistent link: https://www.econbiz.de/10011755367
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Har testing for spurious regression in trend
Phillips, Peter C. B.; Wang, XiaoHu; Zhang, Yonghui - In: Econometrics 7 (2019) 4, pp. 1-28
The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests...
Persistent link: https://www.econbiz.de/10012696265
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Quantile regression with generated regressors
Chen, Liqiong; Galvão Júnior, Antônio Fialho; Song, … - In: Econometrics 9 (2021) 2, pp. 1-35
This paper studies estimation and inference for linear quantile regression models with generated regressors. We suggest a practical two-step estimation procedure, where the generated regressors are computed in the first step. The asymptotic properties of the two-step estimator, namely,...
Persistent link: https://www.econbiz.de/10012696321
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Statistical inference on the Canadian middle class
Davidson, Russell - In: Econometrics 6 (2018) 1, pp. 1-18
normality. Bootstrap inference can be expected to be more reliable, and appropriate bootstrap procedures are proposed. As an … enough for asymptotic and bootstrap inference to be almost identical, but that, in the twenty-first century, the bootstrap …
Persistent link: https://www.econbiz.de/10011995215
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Smoothed Empirical Likelihood Methods for Quantile Regression Models
Whang, Yoon-Jae - EconWPA - 2003
samples than the confidence regions that can be constructed from the smoothed bootstrap method recently suggested by Horowitz …
Persistent link: https://www.econbiz.de/10005062560
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On bootstrap inference for quantile regression panel data: A Monte Carlo study
Galvão Júnior, Antônio Fialho; Montes-Rojas, Gabriel - In: Econometrics 3 (2015) 3, pp. 654-666
This paper evaluates bootstrap inference methods for quantile regression panel data models. We propose to construct … confidence intervals for the parameters of interest using percentile bootstrap with pairwise resampling. We study three different … bootstrapping procedures. First, the bootstrap samples are constructed by resampling only from cross-sectional units with …
Persistent link: https://www.econbiz.de/10011755298
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Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison
Gutierrez, Luciano - EconWPA - 2003
This paper deals with the finite sample performance of a set of unit root tests for cross correlated panels. As is well known, univariate tests are not powerful to reject the null of a unit root for the usual economic variables while panel tests, by exploiting the large number of cross-section...
Persistent link: https://www.econbiz.de/10005407993
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Synthetic control and inference
Hahn, Jinyong; Shi, Ruoyao - In: Econometrics 5 (2017) 4, pp. 1-12
Persistent link: https://www.econbiz.de/10011995200