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Regression Discontinuity and Heteroskedasticity Robust Standard Errors : Evidence from a Fixed-Bandwidth Approximation
Bartalotti, Otávio - 2018
heteroskedasticity-robust standard errors. This paper develops the "fixed-bandwidth" alternative asymptotic theory for RD designs, which … there is local heteroskedasticity. Feasible estimators of fixed-bandwidth standard errors are easy to implement and are akin … to treating RD estimators as locally parametric, validating the common empirical practice of using heteroskedasticity …
Persistent link: https://www.econbiz.de/10012917093
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Regression discontinuity and heteroskedasticity robust standard errors : evidence from a fixed-bandwidth approximation
Bartalotti, Otávio - 2018
heteroskedasticity-robust standard errors. This paper develops the "fixed-bandwidth" alternative asymptotic theory for RD designs, which … there is local heteroskedasticity. Feasible estimators of fixed-bandwidth standard errors are easy to implement and are akin … to treating RD estimators as locally parametric, validating the common empirical practice of using heteroskedasticity …
Persistent link: https://www.econbiz.de/10011869057
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Testing When a Parameter is on the Boundary of the Maintained Hypothesis
Andrews, Donald W. K. - 2000
This paper considers testing problems where several of the standard regularity conditions fail to hold. We consider the case where (i) parameter vectors in the null hypothesis may lie on the boundary of the maintained hypothesis and (ii) there may be a nuisance parameter that appears under the...
Persistent link: https://www.econbiz.de/10014164278
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A robust permutation test for subvector inference in linear regressions
D'Haultfœuille, Xavier; Tuvaandorj, Purevdorj - In: Quantitative economics : QE ; journal of the … 15 (2024) 1, pp. 27-87
We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then we show that the test is asymptotically of correct level, consistent, and has power against local alternatives when the...
Persistent link: https://www.econbiz.de/10014496927
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Testing heteroskedasticity for predictive regressions with nonstationary regressors
Hong, Shaoxin; Zhang, Zhengyi; Cai, Zongwu - In: Economics letters 201 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10012607071
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A joint test for parametric specification and independence in nonlinear regression models
Li, Shuo; Tu, Yundong - In: Econometric reviews 38 (2019) 10, pp. 1202-1215
Persistent link: https://www.econbiz.de/10012181402
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Testing heteroskedasticity for predictive regressions with nonstationary regressors
Hong, Shaoxin; Zhang, Zhengyi; Cai, Zongwu - 2021
Persistent link: https://www.econbiz.de/10012425349
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A nonlinear unit root test in the presence of an unknown break
Popp, Stephan (contributor) - 2008
The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in...
Persistent link: https://www.econbiz.de/10003725797
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How much can we trust causal interpretations of fixed-effects estimators in the context of criminality?
Bjerk, David - 2009
Researchers are often interested in estimating the causal effect of some treatment on individual criminality. For example, two recent relatively prominent papers have attempted to estimate the respective direct effects of marriage and gang participation on individual criminal activity. One...
Persistent link: https://www.econbiz.de/10003895082
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Ratingmodell zur Quantifizierung des Ausfallrisikos von LBO-Finanzierungen
Lang, Michael; Cremers, Heinz; Hentze, Rainald - 2010
Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...
Persistent link: https://www.econbiz.de/10003939552