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Is Double Trouble? – How to Combine Cointegration Tests

Bayer, Christian; Hanck, Christoph - 2008

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test. To exemplify, we combine Engle and Granger (1987) and Johansen (1988) tests. Either of these underlying tests can be more powerful than the other one...

Persistent link: https://www.econbiz.de/10010264719

Inference with imperfect randomization: The case of the Perry Preschool program

Heckman, James J.; Pinto, Rodrigo; Shaikh, Azeem M.; … - 2011

This paper considers the problem of making inferences about the effects of a program on multiple outcomes when the assignment of treatment status is imperfectly randomized. By imperfect randomization we mean that treatment status is reassigned after an initial randomization on the basis of...

Persistent link: https://www.econbiz.de/10010278442

Country Default Probabilities: Assessing and Backtesting

Vogl, Konstantin; Maltritz, Dominik; Huschens, Stefan; … - 2006

We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are...

Persistent link: https://www.econbiz.de/10010296810

A K-sample Homogeneity Test based on the Quantification of the p-p Plot

Hinloopen, Jeroen; Wagenvoort, Rien; van Marrewijk, Charles - 2008

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...

Persistent link: https://www.econbiz.de/10010325767

On the Exact Finite Sample Distribution of the L1 -FCvM Test Statistic

Hinloopen, Jeroen - 2011

We derive the exact finite sample distribution of the L1-version ofthe Fisz-Cramér-von Mises test statistic (L1-FCvM). We first characterizethe set of all distinct sample p-p plots for two balanced sampleof size n absent ties. Next, we order this set according to the correspondingvalue of...

Persistent link: https://www.econbiz.de/10010325887

Identifying All Distinct Sample P-P Plots, with an Application to the Exact Finite Sample Distribution of the L1-FCvM Test Statistic

Hinloopen, Jeroen; Wagenvoort, Rien - 2010

P-p plots contain all the information that is needed for scale-invariant comparisons. Indeed, Empirical Distribution Function (EDF) tests translate sample p-p plots into a single number. In this paper we characterize the set of all distinct p-p plots for two balanced sample of size n absent...

Persistent link: https://www.econbiz.de/10010325915

Some Exact Tests for Manifest Properties of Latent Trait Models

de Gooijer, Jan G.; Yuan, Ao - 2010

Item response theory is one of the modern test theories with applications in educational and psychological testing …

Persistent link: https://www.econbiz.de/10010325932

Simple Computational Methods for Measuring the Difference of Empirical Distributions: Application to Internal and External Scope Tests in Contingent Valuation

Poe, G.L.; Giraud, K.L.; Loomis, J.B. - 2001

This paper develops a statistically unbiased and simple method for measuring the difference of independent empirical distributions estimated by bootstrapping or other simulation approaches. This complete combinatorial method is compared with other unbiased and biased methods that have been...

Persistent link: https://www.econbiz.de/10010276193

Extreme value theory as a theoretical background for power law behavior

Alfarano, Simone; Lux, Thomas - 2010

theory, which provide a statistical justification for the emergence of power laws as limiting behavior for extreme … fluctuations. The remarkable generality of the theory allows to abstract from the details of the system under investigation, and … therefore allows its application in many diverse fields. Moreover, this theory offers new powerful techniques for the estimation …

Persistent link: https://www.econbiz.de/10010277948

Misspecification testing in a class of conditional distributional models

Rothe, Christoph; Wied, Dominik - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10010282420

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