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A test for instrument validity
Kitagawa, Toru - 2014 - This draft: August, 2014
This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point-identifiable complier's...
Persistent link: https://www.econbiz.de/10010392075
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A bootstrap test for instrument validity in heterogeneous treatment effect models
Kitagawa, Toru - 2013
bootstrap algorithm to implement the proposed test and show its asymptotic validity. The proposed test procedure can apply to …
Persistent link: https://www.econbiz.de/10010190476
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Testing for restricted stochastic dominance
Davidson, Russell (contributor);  … - 2006
Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two … be used to perform bootstrap tests that can turn out to provide much improved reliability of inference compared with the … asymptotic tests so far proposed in the literature. -- stochastic dominance ; empirical likelihood ; bootstrap test …
Persistent link: https://www.econbiz.de/10003301664
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Bootstrap tests for overidentification in linear regression models
Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863
-defined. Several bootstrap procedures are proposed. They alleviate the problem and allow reliable inference when the instruments are …
Persistent link: https://www.econbiz.de/10011411381
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Testing Stochastic Dominance with Many Conditioning Variables
Linton, Oliver B. - 2020
is not pivotal asymptotically, and introduce the smooth stationary bootstrap to approximate its sample distribution. We … investigate the finite sample performance of the bootstrap critical values by a set of Monte Carlo simulations. Finally, our …
Persistent link: https://www.econbiz.de/10012841891
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Testing for Cumulative Abnormal Returns in Event Studies with the Rank Test
Hagnäs, Terhi - 2014
Because of non-normality of stock returns nonparametric rank tests are gaining incremental popularity over parametric tests in event studies. In rank tests multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. We propose modifications to the existing approach that...
Persistent link: https://www.econbiz.de/10013049281
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Simulation-Based Finite Sample Normality Tests in Linear Regressions
Dufour, Jean-Marie; Farhat, Abdeljelil; Gardiol, Lucien; … - 1999
In the literature on tests of normality, much concern has been expressed over the problems associated with residual-based procedures. Indeed, the specialized tables of critical points which are needed to perform the tests have been derived for the location-scale model; hence, reliance on...
Persistent link: https://www.econbiz.de/10014197182
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Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient
Hall, Peter; Härdle, Wolfgang K.; Kleinow, Torsten; … - 2000
In this paper we propose a new bootstrap, or Monte-Carlo, approach to such problems. Traditional bootstrap methods in …
Persistent link: https://www.econbiz.de/10014164282
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Testing for Restricted Stochastic Dominance
Davidson, Russell; Duclos, Jean-Yves - 2006
Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two … used to perform bootstrap tests that can turn out to provide much improved reliability of inference compared with the …
Persistent link: https://www.econbiz.de/10014059059
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Testing for Restricted Stochastic Dominance
Davidson, Russell; Duclos, Jean-Yves - 2006
Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two … be used to perform bootstrap tests that can turn out to provide much improved reliability of inference compared with the …
Persistent link: https://www.econbiz.de/10014059083