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described as robust to weak instruments. We also show that test consistency may still hold even if the overall identification … under both the null hypothesis (level) and the alternative hypothesis (power), with or without identification. We show that … the usual chi-squares critical values are still applicable even when identification is weak. So, all proposed tests can be …
Persistent link: https://www.econbiz.de/10013104919
We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...
Persistent link: https://www.econbiz.de/10013159436
We propose a test for the key identification and estimation conditions in Regression Discontinuity (RD) designs. We … characterize the set of sharp testable implications of the RD assumptions, for which the proposed test is uniformly valid under a …
Persistent link: https://www.econbiz.de/10012987628
Persistent link: https://www.econbiz.de/10012991257
received much attention in the econometrics literature. We study test performance in the context of specification testing for … all subsidiary null hypotheses outperform the well-known minimum P-value test and a recently proposed test that relies on … the non-parametric estimation of the joint density of all subsidiary test statistics. …
Persistent link: https://www.econbiz.de/10014505804
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10001731828
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10011431982
In this paper, I propose a one-step nondegenerate test as an alternative to the classical Vuong (1989) tests. I show … that the new test achieves uniform asymptotic size control in both the overlapping and the non-overlapping cases, while the … classical Vuong tests do not. Meanwhile, the power of the new test can be substantially better than the two-step classical Vuong …
Persistent link: https://www.econbiz.de/10011757648
Using normalized regression equations, we propose an alternative estimator of industrial gender wage gaps which is … of the reference groups of any categorical variables. The proposed estimator measures the pure impact of industry on … men and women. Furthermore, the proposed estimator is easy to implement, including hypothesis tests. We compare the …
Persistent link: https://www.econbiz.de/10011346567
when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …
Persistent link: https://www.econbiz.de/10003740322