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Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions
Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2000
This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to...
Persistent link: https://www.econbiz.de/10005100560
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Simulation Based Finite and Large Sample Tests in Multivariate Regressions
Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2000
to be used in conjunction with more traditional simulation-based test methods (e.g., the parametric bootstrap) which may … plus traditionnelles (telles que le bootstrap paramétrique) que l'on peut appliquer lorsque le test à borne n'est pas …
Persistent link: https://www.econbiz.de/10005100889
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Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics
Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2005
asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general … montrons aussi que les tests basés sur la technique du bootstrap paramétrique peut s'interpréter comme une version simplifiée … plus générales que le bootstrap paramétrique. …
Persistent link: https://www.econbiz.de/10005100868
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Consistent Testing for Stochastic Dominance: A Subsampling Approach
Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2002
and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We …
Persistent link: https://www.econbiz.de/10005593569
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The limiting properties of the QMLE in a general class of asymmetric volatility models
Dahl, Christian M.; Iglesias, Emma M. - School of Economics and Management, University of Aarhus - 2008
bootstrap. Finally, we provide an empirical illustration. …
Persistent link: https://www.econbiz.de/10005198863
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On Distributions of Ratios
Broda, Simon A.; Kan, Raymond - 2014
A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...
Persistent link: https://www.econbiz.de/10010328339
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Confidence sets based on inverting Anderson-Rubin tests
Davidson, Russell; MacKinnon, James G. - 2011
Economists are often interested in the coefficient of a single endogenous explanatory variable in a linear simultaneous equations model. One way to obtain a confidence set for this coefficient is to invert the Anderson-Rubin test. The AR confidence sets that result have correct coverage under...
Persistent link: https://www.econbiz.de/10010290355
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On distributions of ratios
Broda, Simon A.; Kan, Raymond - 2013
A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...
Persistent link: https://www.econbiz.de/10010227300
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Bootstrap Confidence Sets with Weak Instruments
Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2012
the others are based on inverting t statistics or the bootstrap P values associated with them. We propose a new method for … constructing bootstrap confidence sets based on t statistics. In large samples, the procedures that generally work best are CLR … confidence sets using asymptotic critical values and bootstrap confidence sets based on LIML estimates. …
Persistent link: https://www.econbiz.de/10009320849
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Testing for Partial Exogeneity with Weak Identification
Doko Tchatoka, Firmin - 2012
We consider the following problem. A structural equation of interest contains two sets of explanatory variables which economic theory predicts may be endogenous. The researcher is interesting in testing the exogeneity of only one of them. Standard exogeneity tests are in general unreliable from...
Persistent link: https://www.econbiz.de/10013104919