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Invalid proxies and volatility changes
Angelini, Giovanni; Fanelli, Luca; Neri, Luca - 2024
(ii) the potential failure of instrument exogeneity. We introduce a novel identification strategy that appropriately …
Persistent link: https://www.econbiz.de/10014577214
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Identification- and singularity-robust inference for moment condition models
Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative Economics 10 (2019) 4, pp. 1703-1746
This paper introduces a new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) test … and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment … functions. The SR-CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi-strong identification …
Persistent link: https://www.econbiz.de/10012215408
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The Migrant Health Gap and the Role of Labour Market Status: Evidence from Switzerland
Rellstab, Sara; Pecoraro, Marco; Holly, Alberto; … - 2016
With more than a fifth of the population being foreign citizens, Switzerland offers an ideal case to study the migrant health gap and the role of labour market status on the migrants' health. This paper examines the potential health gaps between Swiss nationals and different migrant groups (from...
Persistent link: https://www.econbiz.de/10011957734
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Explaining regional variation in equilibrium real estate prices and income
Bischoff, Oliver - 2010
We combine the real estate model of Potepan (1996) with the spatial equilibrium approach of Roback (1982) to prove the interdependency of housing prices, rental prices, building land prices and income via one simultaneous equilibrium analysis. Using unique cross-sectional data on the majority of...
Persistent link: https://www.econbiz.de/10010271908
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Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device
Herwartz, Helmut - 2008
In this note a Monte Carlo approach is suggested to determine critical values for diagnostic tests of Value-at-Risk models that rely on binary random variables. Monte Carlo testing offers exact significance levels in finite samples. Conditional on exact critical values the dynamic quantile test...
Persistent link: https://www.econbiz.de/10010298764
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Simulation-based Tests that Can Use Any Number of Simulations
Racine, Jeff; MacKinnon, James G. - 2004
Conventional procedures for Monte Carlo and bootstrap tests require that B, the number of simulations, satisfy a specific relationship with the level of the test. Otherwise, a test that would instead be exact will either overreject or underreject for finite B. We present expressions for the...
Persistent link: https://www.econbiz.de/10011940649
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Bootstrap Methods in Econometrics
MacKinnon, James G. - 2006
There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as...
Persistent link: https://www.econbiz.de/10011940650
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Inference via kernel smoothing of bootstrap P values
Racine, Jeff; MacKinnon, James G. - 2006
Resampling methods such as the bootstrap are routinely used to estimate the finite-sample null distributions of a range of test statistics. We present a simple and tractable way to perform classical hypothesis tests based upon a kernel estimate of the CDF of the bootstrap statistics. This...
Persistent link: https://www.econbiz.de/10011940672
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Simultaneous indirect inference, impulse responses and ARMA models
Khalaf, Lynda; Peraza López, Beatriz - In: Econometrics 8 (2020) 2, pp. 1-26
A two-stage simulation-based framework is proposed to derive Identification Robust confidence sets by applying Indirect … and exhibit robustness to parameter identification problems. The persistence of shocks on oil prices and returns is …
Persistent link: https://www.econbiz.de/10012696275
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Exchange rates and Markov switching dynamics
Cheung, Yin-Wong; Erlandsson, Ulf G. - 2004
This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data...
Persistent link: https://www.econbiz.de/10010261095