The delta method is commonly used to calculate confidence intervals of functions of estimated parameters that are differentiable with non-zero, bounded derivatives. When the delta method is inappropriate, researchers usually first use a bootstrap procedure where they i) repeatedly take a draw...

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...

The paper proposes and applies statistical tests for poverty dominance that check for whether poverty comparisons can be made robustly over ranges of poverty lines and classes of poverty indices. This helps provide both normative and statistical confidence in establishing poverty rankings across...

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...

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...

In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the...

Replication studies are considered a hallmark of good scientific practice. Yet they are treated among researchers as an ideal to be professed but not practiced. To provide incentives and favorable boundary conditions for replication practice, the main stakeholders need to be aware of what drives...

In regression discontinuity design (RD), for a given bandwidth, researchers can estimate standard errors based on different variance formulas obtained under different asymptotic frameworks. In the traditional approach the bandwidth shrinks to zero as sample size increases; alternatively, the...

In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different datasets that cannot be matched....

This paper provides a meta-analysis of 55 empirical studies estimating the employment effects of minimum wages in 15 industrial countries. It strongly confirms the notion that the effects of minimum wages are heterogeneous between countries. As possible sources of heterogeneity, it considers the...