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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavalierea, Giuseppe; Ørregard Nielsen, Morten; … - 2013 - 12-2013

robust to both conditional and unconditional heteroskedasticity of a quite general and unknown form in the shocks. We show … pivotal asymptotic null distributions in the presence of heteroskedasticity, but that the corresponding tests based on the … wild bootstrap principle do. An heteroskedasticity-robust Wald test, based around a sandwich estimator of the variance, is …

Persistent link: https://www.econbiz.de/10009743847

Nearly efficient likelihood ratio tests for seasonal unit roots

Jansson, Michael; Nielsen, Morten Ørregaard - 2009

In an important generalization of zero frequency autoregressive unit root tests, Hylleberg, Engle, Granger, and Yoo (1990) developed regression-based tests for unit roots at the seasonal frequencies in quarterly time series. We develop likelihood ratio tests for seasonal unit roots and show that...

Persistent link: https://www.econbiz.de/10003919691

Critical values for cointegration tests

MacKinnon, James G. - 2010

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...

Persistent link: https://www.econbiz.de/10003919736

Numerical distribution functions of fractional unit root and cointegration tests

MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010

We calculate numerically the asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is not feasible. Partly due to the presence of...

Persistent link: https://www.econbiz.de/10003996897

Difference-in-differences inference with few treated clusters

MacKinnon, James G.; Webb, Matthew - 2016

Inference using difference-in-differences with clustered data requires care. Previous research has shown that t tests based on a cluster-robust variance estimator (CRVE) severely over-reject when there are few treated clusters, that different variants of the wild cluster bootstrap can...

Persistent link: https://www.econbiz.de/10011428007

Improved likelihood ratio tests for cointegration rank in the VAR model

Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - 2012

We suggest improved tests for cointegration rank in the vector au- toregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of course the asymptotic results apply more generally....

Persistent link: https://www.econbiz.de/10009621711

How targeted is targeted tax relief? : evidence from the unemployment insurance youth hires program

Webb, Matthew; Sweetman, Arthur; Warman, Casey - 2012

Targeted employment subsidy programs are commonly employed by governments. This study examines one such initiative that rebated unemployment insurance premiums for net new insurable employment for youth aged 18 to 24. Using microdata from two datasets to estimate the labour market impacts of...

Persistent link: https://www.econbiz.de/10009630268

Inference with large clustered datasets

MacKinnon, James G. - 2016

Inference using large datasets is not nearly as straightforward as conventional econometric theory suggests when the disturbances are clustered, even with very small intra-cluster correlations. The information contained in such a dataset grows much more slowly with the sample size than it would...

Persistent link: https://www.econbiz.de/10011528432

Leverage, influence, and the jackknife in clustered regression models : reliable inference using summclust

MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2022

Cluster-robust inference is widely used in modern empirical work in economics and many other disciplines. The key unit of observation is the cluster. We propose measures of "high-leverage" clusters and "influential" clusters for linear regression models. The measures of leverage and partial...

Persistent link: https://www.econbiz.de/10013169182

Better off or more apart? : empirically testing welfare and inequality dominance criteria

Beach, Charles M. - 2022

This paper provides the tools and procedures for empirically implementing several dominance criteria for social welfare comparisons and broad income inequality comparisons. Dominance criteria are expressed in terms of vectors of quantile ordinates based on income shares or quantile means....

Persistent link: https://www.econbiz.de/10013169202