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On a New Correlation Coefficient, its Orthogonal Decomoposition, and Associated Tests of Independence

Bergsma, Wicher - 2006

A possible drawback of the ordinary correlation coefficient p for two real random variables X and Y is that zero … correlation does not imply independence. In this paper we introduce a new correlation coefficient p* which assumes values between …

Persistent link: https://www.econbiz.de/10014057932

A Consistent Heteroskedasticity Robust LM Type Specification Test for Semiparametric Models

Korolev, Ivan - 2019

This paper develops a consistent heteroskedasticity robust Lagrange Multiplier (LM) type specification test for semiparametric conditional mean models. Consistency is achieved by turning a conditional moment restriction into a growing number of unconditional moment restrictions using series...

Persistent link: https://www.econbiz.de/10012862378

Robust tests for ARCH in the presence of a misspecified conditional mean : a comparison of nonparametric approaches

Maki, Daiki; Ota, Yasushi - In: Cogent economics & finance 9 (2021) 1, pp. 1-18

This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean. The approaches employed are based on two nonparametric regressions for the conditional mean: an ARCH test with a...

Persistent link: https://www.econbiz.de/10013183738

Comparing distributions : the harmonic mass index

Hinloopen, Jeroen; Marrewijk, Charles van - 2005

The information contained in PP-plots is transformed into a single number. The resulting Harmonic Mass (HM) index is distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of the distribution of the sample HM index is...

Persistent link: https://www.econbiz.de/10011348352

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

Robust tests for white noise and cross-correlation

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020

Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series … spurious evidence of serial correlation. …

Persistent link: https://www.econbiz.de/10012243279

Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863

instruments tends to zero and as the correlation between the disturbances of the structural and reduced-form equations tends to …

Persistent link: https://www.econbiz.de/10011411381

A Test of Non-Identifying Restrictions and Confidence Regions for Partially Identified Parameters

Galichon, Alfred - 2011

We propose an easily implementable test of the validity of a set of theoretical restrictions on the relationship between economic variables, which do not necessarily identify the data generating process. The restrictions can be derived from any model of interactions, allowing censoring and...

Persistent link: https://www.econbiz.de/10012714180

A robust test for serial correlation in panel data models

Chen, Bin - In: Econometric reviews 41 (2022) 9, pp. 1095-1112

Persistent link: https://www.econbiz.de/10013364945

A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data

Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - In: Journal of econometrics 197 (2017) 2, pp. 298-322

Persistent link: https://www.econbiz.de/10011818361