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Inference under Covariate-Adaptive Randomization with Multiple Treatments
Bugni, Federico A. - 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 heteroskedasticity-consistent estimator of the asymptotic variance are …
Persistent link: https://www.econbiz.de/10012892855
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Testing for Quantile Sample Selection
Corradi, Valentina; Gutknecht, Daniel - 2021
This paper provides distribution free tests for detecting sample selection in conditional quantile functions. The first test is an omitted predictor test with the propensity score as the omitted variable. In the case of rejection we cannot distinguish between rejection due to genuine selection...
Persistent link: https://www.econbiz.de/10013239598
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Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals
Ghoudi, Kilani - 2011
In view of applications to diagnostic tests of ARMA models, the asymptotic behavior of multivariate empirical and copula processes based on residuals of ARMA models is investigated. Multivariate empirical processes based on squared residuals and other functions of the residuals are also...
Persistent link: https://www.econbiz.de/10013133656
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Bootstrapping Semiparametric Models with Single-Index Nuisance Parameters, Second Version
Song, Kyungchul - 2010
-index nuisance parameters. This paper proposes a bootstrap method of constructing confidence sets which has the following three … merits. First, the bootstrap is valid even when the single-index estimator follows cube-root asymptotics. Second, the … bootstrap method accommodates conditional heteroskedasticity. Third, the bootstrap does not require re-estimation of the single …
Persistent link: https://www.econbiz.de/10013139685
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Testing for Bivariate Spherical Symmetry
Einmahl, John H. J. - 2010
An omnibus test for spherical symmetry in R2 is proposed, employing localized empirical likelihood. The thus obtained test statistic is distribution-free under the null hypothesis. The asymptotic null distribution is established and critical values for typical sample sizes, as well as the...
Persistent link: https://www.econbiz.de/10013141082
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Efficient Estimation of Average Treatment Effects Under Treatment-Based Sampling, Second Version
Song, Kyungchul - 2010
Nonrandom sampling schemes are often used in program evaluation settings to improve the quality of inference. This paper considers what we call treatment-based sampling, a type of standard stratified sampling where part of the strata are based on treatment status. This paper establishes...
Persistent link: https://www.econbiz.de/10013142868
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Bootstrapping Density-Weighted Average Derivatives
Cattaneo, Matias D. - 2010
properties of a variety of bootstrap-based inference procedures associated with the kernel-based density-weighted averaged … derivative estimator proposed by Powell, Stock, and Stoker (1989). In many cases validity of bootstrap-based inference procedures …. An exception to this rule occurs for inference procedures involving a studentized estimator employing a "robust" variance …
Persistent link: https://www.econbiz.de/10013143146
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Exact Inference for a Weak Instrument, a Small Sample, or Extreme Quantiles
Frandsen, Brigham R. - 2011
This paper describes a randomization-based inference procedure for the distribution or quantiles of potential outcomes for a binary treatment and instrument. The method imposes no parametric model for the treatment effect, and remains valid for small n, a weak instrument, or inference on tail...
Persistent link: https://www.econbiz.de/10013124827
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Empirical Likelihood for Regression Discontinuity Design
Otsu, Taisuke - 2011
nonparametric. The proposed inference procedures do not require asymptotic variance estimation and the confidence sets have natural …
Persistent link: https://www.econbiz.de/10013125307
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Specification Testing Driven by Orthogonal Series in Nonlinear and Nonstationary Time Series Models
Gao, Jiti - 2012
This paper establishes two simple and new specification tests based on the use of an orthogonal series. The paper then establishes an asymptotic theory for each of the proposed tests. The first test is initially proposed for the case where the regression function involved is integrable and the...
Persistent link: https://www.econbiz.de/10013098023