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This paper develops a consistent series-based specification test for semiparametric panel data models with fixed …
Persistent link: https://www.econbiz.de/10012862375
We introduce a nonparametric block bootstrap approach for Quasi-Likelihood Ratio type tests of nonlinear restrictions. Our method applies to extremum estimators, such as quasi-maximum likelihood and generalized method of moments estimators. Unlike existing parametric bootstrap procedures for...
Persistent link: https://www.econbiz.de/10014178027
In non- and semiparametric testing, the wild bootstrap is a standard method to determine the critical values of the test. While there exists an increasing literature on how to find a proper smoothing parameter for the nonparametric alternative, almost nothing is known how to choose a smoothing...
Persistent link: https://www.econbiz.de/10014048394
We introduce tests for finite-sample linear regressions with heteroskedastic errors. The tests are exact, i.e., they have guaranteed type I error probabilities when bounds are known on the range of the dependent variable, without any assumptions about the noise structure. We provide upper bounds...
Persistent link: https://www.econbiz.de/10014197050
This paper develops a specification test for functional form for models identified by moment restrictions, including IV and GMM settings. The general framework is one where the moment restrictions are specified as functions of data, a finite-dimensional parameter vector, and a nonparametric real...
Persistent link: https://www.econbiz.de/10014200774
We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment...
Persistent link: https://www.econbiz.de/10014201084
Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number of hedge funds from a large universe of candidate funds. We analyse whether such a selection can be successfully achieved by looking at the track records of the available funds alone, using advanced statistical...
Persistent link: https://www.econbiz.de/10014203754
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/10014213691
Consider the problem of testing s hypotheses simultaneously. In this paper, we derive methods which control the generalized familywise error rate given by the probability of k or more false rejections, abbreviated k-FWER. We derive both single-step and stepdown procedures that control the k-FWER...
Persistent link: https://www.econbiz.de/10014215284
In this paper the interest is in testing whether a regression function is polynomial of a certain degree. One possible approach to this testing problem is to do a parametric polynomial fit and a nonparametric fit and to reject the null hypothesis of a polynomial function if the distance between...
Persistent link: https://www.econbiz.de/10014165119