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Testing Covariates in High Dimensional Regression
Lan, Wei - 2013
In a high dimensional linear regression model, we propose a new procedure for testing statistical significance of a subset of regression coefficients. Specifically, we employ the partial covariances between the response variable and the tested covariates to obtain a test statistic. The resulting...
Persistent link: https://www.econbiz.de/10013082410
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Model Specification Test with Correlated But Not Cointegrated Variables
Gan, Li - 2013
Many macroeconomic and financial variables show highly persistent and correlated patterns but not necessarily cointegrated. Recently, Sun, Hsiao and Li (2010) propose using a semiparametric varying coefficient approach to capture correlations between integrated but non cointegrated variables....
Persistent link: https://www.econbiz.de/10013077119
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Testing cross-sectional correlation in large panel data models with serial correlation
Baltagi, Badi H.; Kao, Chihwa; Bin, Peng - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24
This paper considers the problem of testing cross-sectional correlation in large panel data models with serially …-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in … account for serial correlation of an unknown form in the error term. We derive the limiting distribution of this test as (N …
Persistent link: https://www.econbiz.de/10011650378
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Replication to assess statistical adequacy
Owen, Dorian - 2018
"Statistical adequacy" is an important prerequisite for securing reliable inference in empirical modelling. This paper argues for more emphasis on replication that specifically assesses whether the results reported in empirical studies are based on statistically adequate models, i.e., models...
Persistent link: https://www.econbiz.de/10011917266
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A robust test for weak instruments with multiple endogenous regressors
Lewis, Daniel J.; Mertens, Karel - 2022
We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...
Persistent link: https://www.econbiz.de/10013277475
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Efficiency Loss of Asymptotically Efficient Tests in an Instrumental Variables Regression
Ridder, Geert - 2019
In a model with endogenous regressors, heteroskedastic and autocorrelated (HAC) errors and weak instruments, tests that depend on the data only through the Anderson-Rubin (AR) and Lagrange Multiplier (LM) statistics ignore important information on the regression coefficients. This is in contrast...
Persistent link: https://www.econbiz.de/10012891057
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On optimal inference in the linear IV model
Andrews, Donald W. K.; Marmer, Vadim; Yu, Zhengfei - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 457-485
hand, the paper establishes the finite-sample optimality of the CLR test when the correlation between the structural and … parameter of interest, uniformly over all such pairs of alternative hypothesis values and uniformly over the correlation between …
Persistent link: https://www.econbiz.de/10012042425
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Efficiency loss of asymptotically efficient tests in an instrumental variables regression
Moreira, Marcelo J.; Ridder, Geert - 2019
In a model with endogenous regressors, heteroskedastic and autocorrelated (HAC) errors and weak instruments, tests that depend on the data only through the Anderson-Rubin (AR) and Lagrange Multiplier (LM) statistics ignore important information on the regression coefficients. This is in contrast...
Persistent link: https://www.econbiz.de/10011958229
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A Robust Test for Weak Instruments with Multiple Endogenous Regressors
Lewis, Daniel J.; Mertens, Karel - 2022
We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...
Persistent link: https://www.econbiz.de/10014081811
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A Robust Test for Weak Instruments with Multiple Endogenous Regressors
Lewis, Daniel J.; Mertens, Karel - 2022
We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...
Persistent link: https://www.econbiz.de/10014081836