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Inference for rank-rank regressions
Chetverikov, Denis N.; Wilhelm, Daniel - 2023
Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...
Persistent link: https://www.econbiz.de/10014480485
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Identification based on higher moments
Lewis, Daniel J. - 2024
Identification based on higher moments has drawn increasing theoretical attention and been widely adopted in empirical practice in macroeconometrics in the last two decades. This article reviews two parallel strands of the literature: identification strategies based on heteroskedasticity and...
Persistent link: https://www.econbiz.de/10014480567
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Nonparametric identification and estimation with non-classical errors-in-variables
Evdokimov, Kirill S.; Zeleneev, Andrei - 2024
This paper considers nonparametric identification and estimation of the regression function when a covariate is mismeasured. The measurement error need not be classical. Employing the small measurement error approximation, we establish nonparametric identification under weak and...
Persistent link: https://www.econbiz.de/10014581847
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Exponential or Power Distance-decay for Commuting? An Alternative Specification
de Vries, Jacob J.; Nijkamp, Peter; Rietveld, Piet - 2004
In this paper we determine the effect of transport cost on commuting flows, on the basis of an analysis of home-to-work journeys between municipalities in Denmark. Special attention is given to a proper estimation method and the form of the distance-decay function. It appears that neither an...
Persistent link: https://www.econbiz.de/10010325561
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Testing for Structural Breaks at Unknown Time: A Steeplechase
El-Shagi, Makram; Giesen, Sebastian - 2010
presence of heteroscedasticity, whereas the individual parameter Nyblom test and AvgLM test are proved to be highly robust …
Persistent link: https://www.econbiz.de/10010288480
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Correlation testing in time series, spatial and cross-sectional data
Robinson, Peter - 2007
We provide a general class of tests for correlation in time series, spatial, spatio-temporal and cross-sectional data … of various kinds. Their forms are illustrated in case of several models for describing correlation in various kinds of … data. The initial focus assumes homoscedasticity, but we also robustify the tests to nonparametric heteroscedasticity. …
Persistent link: https://www.econbiz.de/10010318473
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Analysis of sectors on Nigeria stock market: Evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of Contemporary Economic and Business Issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors' returns. Furthermore …
Persistent link: https://www.econbiz.de/10011984744
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Wild Bootstrap Tests for IV Regression
Davidson, Russell; MacKinnon, James G. - 2008
We propose a wild bootstrap procedure for linear regression models estimated by instrumental variables. Like other bootstrap procedures that we have proposed elsewhere, it uses efficient estimates of the reduced-form equation(s). Unlike them, it takes account of possible heteroskedasticity of...
Persistent link: https://www.econbiz.de/10011940749
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Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
Kelejian, Harry H.; Prucha, Ingmar R. - 2008
One important goal of this study is to develop a methodology of inference for a widely used Cliff-Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while allowing for unknown heteroskedasticity in the innovations. We first...
Persistent link: https://www.econbiz.de/10010264476
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A spatial Cliff-ord-type model with heteroskedastic innovations: small and large sample results
Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - 2008
In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step...
Persistent link: https://www.econbiz.de/10010264508