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How to implement the bootstrap in static or stable dynamic regression models
Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10011325661
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When and how to deal with clustered errors in regression models
MacKinnon, James G.; Webb, Matthew - 2019
We discuss when and how to deal with possibly clustered errors in linear regression models. Specifically, we discuss situations in which a regression model may plausibly be treated as having error terms that are arbitrarily correlated within known clusters but uncorrelated across them. The...
Persistent link: https://www.econbiz.de/10012183510
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Tests of no cross-sectional error dependence in panel quantile regressions
Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023
This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile … regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the … development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting …
Persistent link: https://www.econbiz.de/10014366629
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On the Estimation and Inference of a Cointegrated Regression in Panel Data
Kao, Chihwa; Chiang, Min-Hsien - 1997
(DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all …
Persistent link: https://www.econbiz.de/10014149909
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On bootstrap inference for quantile regression panel data : a Monte Carlo study
Galvão Júnior, Antônio Fialho; Montes-Rojas, Gabriel - In: Econometrics : open access journal 3 (2015) 3, pp. 654-666
This paper evaluates bootstrap inference methods for quantile regression panel data models. We propose to construct …
Persistent link: https://www.econbiz.de/10011410652
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Confidence corridors for multivariate generalized quantile regression
Chao, Shih-kang; Proksch, Katharina; Dette, Holger; … - 2014
We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable nonparametric estimator and the true function of interest which follow...
Persistent link: https://www.econbiz.de/10010354164
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Testing for a general class of functional inequalities
Lee, Sokbae; Song, Kyungchul; Whang, Yoon-jae - 2014
In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a uni ed framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and...
Persistent link: https://www.econbiz.de/10010254852
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Asymptotic and Bootstrap Properties of Rank Regressions
Subbotin, Viktor - 2007
The paper develops the bootstrap theory and extends the asymptotic theory of rank estimators, such as the Maximum Rank Correlation Estimator (MRC) of Han (1987), Monotone Rank Estimator (MR) of Cavanagh and Sherman (1998) or Pairwise-Difference Rank Estimators (PDR) of Abrevaya (2003). It is...
Persistent link: https://www.econbiz.de/10012728660
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Testing identifying assumptions in fuzzy regression discontinuity designs
Arai, Yoichi; Hsu, Yu-Chin; Kitagawa, Toru; Mourifié, … - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 1-28
We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD‐validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the...
Persistent link: https://www.econbiz.de/10012807725
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Easy bootstrap-like estimation of asymptotic variances
Honoré, Bo E.; Hu, Luojia - 2018
The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated econometric models. Unfortunately, the bootstrap can be very time-consuming. In a recent paper, Honoré and Hu (2017), we propose a "Poor (Wo)man's Bootstrap" based on one-dimensional...
Persistent link: https://www.econbiz.de/10011879253