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Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends
Kao, Chihwa - 2011
In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic …
Persistent link: https://www.econbiz.de/10013127390
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Are OECD Macroeconomic Variables Trend Stationary? Evidence from Panel Stationary Tests Allowing for a Structural Break and Cross-Sectional Dependence
Hadri, Kaddour; Rao, Yao - 2010
This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 … break models are allowed for in the panel. Our results suggest, overwhelmingly, that if we account for a structural break …
Persistent link: https://www.econbiz.de/10014201245
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Testing for Breaks in Cointegrated Panels - with an Application to the Feldstein-Horioka Puzzle
Di Iorio, Francesca - 2011
bootstrap. Simulation evidence shows that the proposed panel tests improve considerably on asymptotic tests applied to … individual series. As an empirical illustration we examined investment and saving for a panel of 14 European countries over the … cases do not reject the null of stability, the bootstrap panel tests lead to the more plausible conclusion that the long …
Persistent link: https://www.econbiz.de/10013132413
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Robust block bootstrap panel predictability tests
Westerlund, Joakim; Smeekes, Stephan - 2013
Persistent link: https://www.econbiz.de/10010199463
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Testing for Breaks in Cointegrated Panels - with an Application to the Feldstein-Horioka Puzzle
Di Iorio, Francesca - 2011
bootstrap. Simulation evidence shows that the proposed panel tests improve considerably on asymptotic tests applied to … individual series. As an empirical illustration we examined investment and saving for a panel of European countries over the 1960 … reject the null of stability, the bootstrap panel tests lead to the more plausible conclusion that the long-run relationship …
Persistent link: https://www.econbiz.de/10013132162
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A bootstrap test for instrument validity in heterogeneous treatment effect models
Kitagawa, Toru - 2013
This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. A necessary testable implication for the joint restriction of instrument exogeneity and instrument monotonicity is given...
Persistent link: https://www.econbiz.de/10010190476
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014 - Ver. 10.2: May 4, 2014
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. As a special case, our method yields marginal confidence sets for individual coordinates of this parameter vector. Our inference method controls asymptotic size...
Persistent link: https://www.econbiz.de/10010348998
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2015
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. As a special case, our method yields marginal confidence sets for individual coordinates of this parameter vector. Our inference method controls asymptotic size...
Persistent link: https://www.econbiz.de/10011326079
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A joint specification test for response probabilities in unordered multinomial choice models
Iwasawa, Masamune - In: Econometrics : open access journal 3 (2015) 3, pp. 667-697
Estimation results obtained by parametric models may be seriously misleading when the model is misspecified or poorly approximates the true model. This study proposes a test that jointly tests the specifications of multiple response probabilities in unordered multinomial choice models. The test...
Persistent link: https://www.econbiz.de/10011410669
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Bootstrap tests for overidentification in linear regression models
Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863
We study the finite-sample properties of tests for overidentifying restrictions in linear regression models with a single endogenous regressor and weak instruments. Under the assumption of Gaussian disturbances, we derive expressions for a variety of test statistics as functions of eight...
Persistent link: https://www.econbiz.de/10011411381