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A comparison of alternative approaches to sup-norm goodness of fit tests with estimated parameters

Parker, Thomas - 2010

powerful than a simple bootstrap procedure. -- Goodness of fit test ; Estimated parameters ; Gaussian process ; Gauss …

Persistent link: https://www.econbiz.de/10008697470

An adaptive, rate-optimal test of a parametric model against a nonparametric alternative

Horowitz, Joel; Spokojnyj, Vladimir G. - 1999

We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the...

Persistent link: https://www.econbiz.de/10009579179

Robust confidence intervals for average treatment effects under limited overlap

Rothe, Christoph - 2015

Estimators of average treatment effects under unconfounded treatment assignment are known to become rather imprecise if there is limited overlap in the covariate distributions between the treatment groups. But such limited overlap can also have a detrimental effect on inference, and lead for...

Persistent link: https://www.econbiz.de/10010467806

Overidentification test in a nonparametric treatment model with unobserved heterogeneity : conference paper

Dzemski, Andreas; Sarnetzki, Florian - 2014 - This version: February 15, 2014

investigate the validity and finite sample performance of an easy-to-implement wild bootstrap procedure. Finally, we illustrate … a multiplier bootstrap to conduct inference in a treatment model with nonparametrically estimated regressors. Our … simulations illustrate that a much easier to implement na ve wild bootstrap procedure can have good properties. In our application …

Persistent link: https://www.econbiz.de/10010491120

Testing missing at random using instrumental variables

Breunig, Christoph - 2015

This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic’s...

Persistent link: https://www.econbiz.de/10010503886

Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions

Chen, Xiaohong; Christensen, Timothy M. - 2014 - Rev.

We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e. sup-norm) convergence rate (n= log n)..p=(2p+d) of Stone (1982), where d is the number of regressors and p is the smoothness of the regression function. The optimal rate...

Persistent link: https://www.econbiz.de/10010458629

Intersection bounds : estimation and inference

Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M. - 2009

We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with a potentially infinite constraint set. Our approach is...

Persistent link: https://www.econbiz.de/10003869258

Nonparametric estimation of a polarization measure

Anderson, Gordon; Linton, Oliver; Whang, Yoon-jae - 2009

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...

Persistent link: https://www.econbiz.de/10003847572

Testing for equality between two copulas

Remillard, Bruno (contributor); … - 2007

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Crameacute;r-von Mises test statistic. Finite sample properties...

Persistent link: https://www.econbiz.de/10003550857

Goodness-of-fit tests based on series estimators in nonparametric instrumental regression

Breunig, Christoph - 2012

This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or nonparametric specification as well as a test of exogeneity of the...

Persistent link: https://www.econbiz.de/10011489959