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Wild-Bootstrapped Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity
Jeong, Jinook; Kang, Byunguk - Volkswirtschaftliche Fakultät, … - 2006
The Breusch-Godfrey’s LM test is one of the most popular tests for autocorrelation. However, it has been shown that the LM test may be erroneous when there exist heteroskedastic errors in regression model. Some remedies recently have been proposed by Godfrey and Tremayne (2005) and Shim et al....
Persistent link: https://www.econbiz.de/10005622073
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Bootstrap Tests Based on Goodness-of-Fit Measures for Nonnested Hypotheses in Regression Models
Jeong, Jinook - Volkswirtschaftliche Fakultät, … - 2006
This paper utilizes the bootstrap to construct tests using the measures for goodness-of-fit for nonnested regression … models. The bootstrap enables us to compute the statistical significance of the differences in the measures and to formally … test on nonnested regression models. The bootstrap tests that this paper proposes are expected to show better finite sample …
Persistent link: https://www.econbiz.de/10005260238
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Asymptotic and bootstrap properties of rank regressions
Subbotin, Viktor - Volkswirtschaftliche Fakultät, … - 2007
The paper develops the bootstrap theory and extends the asymptotic theory of rank estimators, such as the Maximum Rank … asymptotic distributions can be consistently estimated by the nonparametric bootstrap. We investigate the accuracy of inference … based on the asymptotic approximation and the bootstrap, and provide bounds on the associated error. In the case of MRC and …
Persistent link: https://www.econbiz.de/10005789393
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On testing equality of distributions of technical efficiency scores
Simar, Leopold; Zelenyuk, Valentin - Volkswirtschaftliche Fakultät, … - 2004
The challenge of the econometric problem in production efficiency analysis is that the very efficiency scores to be analyzed are unobserved. Recently, statistical properties have been discovered for a class of estimators popular in the literature, known as data envelopment analysis (DEA)...
Persistent link: https://www.econbiz.de/10008794662
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On bootstrap validity for specification tests with weak instruments
Doko Tchatoka, Firmin - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) specification tests when … instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better … approximation than the usual asymptotic chi-square distributions. However, the bootstrap provides only a first-order approximation …
Persistent link: https://www.econbiz.de/10011109415
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A Critical Evaluation of the Significance of Round Numbers in European Equity Markets in Light of the Predictions from Benford’s Law
Kalaichelvan, Mohandass; Lim Kai Jie, Shawn - Volkswirtschaftliche Fakultät, … - 2012
In this study, we test the hypothesis that psychological barriers exist in 5 European Equity Market indices [ATX, CAC, DAX, FTSE, SMI]. We employ both a traditional methodology that assumes a uniform distribution of M-Values and a modified approach that accounts for the fact that the digits of...
Persistent link: https://www.econbiz.de/10011259390
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Detecting dependence between spatial processes
Herrera Gómez, Marcos; Ruiz Marín, Manuel; Mur … - Volkswirtschaftliche Fakultät, … - 2013
Testing the assumption of independence between variables is a crucial aspect of spatial data analysis. However, the literature is limited and somewhat confusing. To our knowledge, we can mention only the bivariate generalization of Moran’s statistic. This test suffers from several...
Persistent link: https://www.econbiz.de/10011260150
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Detección de Dependencia Espacial mediante Análisis Simbólico
Herrera Gómez, Marcos; Ruiz Marín, Manuel; Mur … - Volkswirtschaftliche Fakultät, … - 2011
Testing for the assumption of independence between spatial variables is an important first step in spatial conometrics. Usually the researchers use the bivariate generalization of the Moran’s statistic, specifying a spatial matrix a priori. This test is applicable only to detect linear...
Persistent link: https://www.econbiz.de/10011260236
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Normal versus Noncentral Chi-square Asymptotics of Misspecified Models
Chun, So Yeon; Alexander, Shapiro - Volkswirtschaftliche Fakultät, … - 2009
The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical part of the methodology in structural equations modeling (SEM). Recently, it was argued by some authors that in certain situations normal distributions may give a better...
Persistent link: https://www.econbiz.de/10005015592
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Confidence sets for some partially identified parameters
Fan, Yanqin; Park, Sang Soo - Volkswirtschaftliche Fakultät, … - 2010
In this paper, we first re-visit the inference problem for interval identified parameters originally studied in Imbens and Manski (2004) and later extended in Stoye (2008). We take the general criterion function approach and establish a new confidence interval that is asymptotically valid under...
Persistent link: https://www.econbiz.de/10009652936