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GEL-based inference with unconditional moment inequality restrictions

Grant, Nicky L.; Smith, Richard J. - 2018 - This draft: August 2017

This paper studies the properties of generalised empirical likelihood (GEL) methods for the estimation of and inference on partially identified parameters in models specified by unconditional moment inequality constraints. The central result is, as in moment equality condition models, a large...

Persistent link: https://www.econbiz.de/10011812336

Testing missing at random using instrumental variables

Breunig, Christoph - 2017

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/10011894725

Impossible inference in econometrics : theory and applications

Bertanha, Marinho; Moreira, Marcelo J. - 2019 - This version: November 14, 2018

This paper studies models in which hypothesis tests have trivial power, that is, power smaller than size. This testing impossibility, or impossibility type A, arises when any alternative is not distinguishable from the null. We also study settings where it is impossible to have almost surely...

Persistent link: https://www.econbiz.de/10011958082

Inference under covariate-adaptive randomization with multiple treatments

Bugni, Federico A.; Canay, Ivan A.; Shaikh, Azeem M. - 2019

estimators using the usual heteroskedasticity-consistent estimator of the asymptotic variance are invalid in the sense that they … hand, tests based on these estimators and suitable estimators of the asymptotic variance that we provide are exact in the … based on these estimators using the usual heteroscedasticity-consistent estimator of the asymptotic variance are …

Persistent link: https://www.econbiz.de/10011958281

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

On the exact finite sample distribution of the L1 -FCvM test statistic

Hinloopen, Jeroen - 2011

We derive the exact finite sample distribution of the L1-version ofthe Fisz-Cramér-von Mises test statistic (L1-FCvM). We first characterizethe set of all distinct sample p-p plots for two balanced sampleof size n absent ties. Next, we order this set according to the correspondingvalue of...

Persistent link: https://www.econbiz.de/10011386478

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

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

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

Gürtler, Marc; Rauh, Ronald - 2009 - This Version: 2009-09-09

returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance estimator …

Persistent link: https://www.econbiz.de/10009487233