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Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Horowitz, Joel L.; Lee, Sokbae - 2010

method to obtain a uniform confidence band and show that the bootstrap can be used to obtain the required critical values …

Persistent link: https://www.econbiz.de/10010292807

A new approach to bootstrap inference in functional coefficient models

Herwartz, Helmut; Xu, Fang - 2007

We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in … functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic …, factor based bootstrap inference outperforms the wild bootstrap and pairs bootstrap approach according to its size features …

Persistent link: https://www.econbiz.de/10010296279

When, where and how to perform efficiency estimation

Badunenko, Oleg; Henderson, Daniel J.; Kumbhakar, Subal C. - 2011

In this paper we compare two flexible estimators of technical efficiency in a cross-sectional setting: the nonparametric kernel SFA estimator of Fan, Li and Weersink (1996) to the nonparametric bias corrected DEA estimator of Kneip, Simar and Wilson (2008). We assess the finite sample...

Persistent link: https://www.econbiz.de/10010280699

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Horowitz, Joel L.; Lee, Sokbae - 2009

to obtain a uniform confidence band and show that the bootstrap can be used to obtain the required critical values. Monte …

Persistent link: https://www.econbiz.de/10010288414

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

Testing for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - 2013

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

Persistent link: https://www.econbiz.de/10010316931

Alterntive tests for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - 2011

Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...

Persistent link: https://www.econbiz.de/10010316938

A simple two-step method for testing moment inequalities with an application to inference in partially identified models

Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - 2012

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are negative. A...

Persistent link: https://www.econbiz.de/10010316942

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with ?out-of-sample Granger causality?. In particular, it is often of interest to assess whether...

Persistent link: https://www.econbiz.de/10010263216

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By …

Persistent link: https://www.econbiz.de/10010271838