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Generalized information matrix tests for detecting model misspecification
Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24
Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying,...
Persistent link: https://www.econbiz.de/10011650480
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A simple and effective misspecification test for the double-hurdle model
Lucchetti, Riccardo; Pigini, Claudia - In: Economics letters 123 (2014) 1, pp. 75-78
Persistent link: https://www.econbiz.de/10010396534
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Hypothesis testing based on a vector of statistics
King, Maxwell L.; Zhang, Xibin; Akram, Muhammad - 2019
Persistent link: https://www.econbiz.de/10012606733
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Hypothesis testing based on a vector of statistics
King, Maxwell L.; Zhang, Xibin; Akram, Muhammad - In: Journal of econometrics 219 (2020) 2, pp. 425-455
Persistent link: https://www.econbiz.de/10012483400
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A simple and effective misspecification test for the double-hurdle model
Lucchetti, Riccardo; Pigini, Claudia - 2014
Persistent link: https://www.econbiz.de/10011822000
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Controlling the danger of false discoveries in estimating multiple treatment effects
Wunderli, Dan - 2012
I expose the risk of false discoveries in the context of multiple treatment effects. A false discovery is a nonexistent effect that is falsely labeled as statistically significant by its individual t-value. Labeling nonexistent effects as statistically significant has wide-ranging academic and...
Persistent link: https://www.econbiz.de/10009740949
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Conditional Moment Tests for Parametric Duration Models
Prieger, James E. - 2005
auxiliary regression is examined using both asymptotic and bootstrap critical values. Monte Carlo evidence indicates that no one …
Persistent link: https://www.econbiz.de/10014067368
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Testing macro models by indirect inference : a survey for users
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - 2015
With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a...
Persistent link: https://www.econbiz.de/10011317836
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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
different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …
Persistent link: https://www.econbiz.de/10011325661
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Testing for a general class of functional inequalities
Lee, Sokbae; Song, Kyungchul; Whang, Yoon-jae - 2014
functionals of kernel-type estimators (1 < p < ∞) and is easy to implement in general, mainly due to its recourse to the bootstrap … method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated … "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large …
Persistent link: https://www.econbiz.de/10010254852