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On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function : the case of unknown parameters
Capasso, Marco; Alessi, Lucia; Barigozzi, Matteo; … - 2007
This note discusses some problems possibly arising when approximating via MonteCarlo simulations the distributions of goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to reestimate unknown parameters on each simulated Monte-Carlo sample - and...
Persistent link: https://www.econbiz.de/10003746039
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Monte Carlo Approximations for Low Moments of Order Deviates from Arbitrary Continuous Distribution
Nawar, Abdel-Hameed - 2006
A simple and readily computable algorithm is developed for approximating the low moments of order deviates from any continuous distribution. The results are compared with those obtained from exact closed form moments, obtained from quadrature as well as other non-Monte Carlo integral computations
Persistent link: https://www.econbiz.de/10012779480
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Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests
Camponovo, Lorenzo - 2011
We introduce a nonparametric block bootstrap approach for Quasi-Likelihood Ratio type tests of nonlinear restrictions …. Unlike existing parametric bootstrap procedures for Quasi-Likelihood Ratio type tests, our procedure constructs bootstrap … samples in a fully nonparametric way. We study the higher order properties of our nonparametric block bootstrap and show the …
Persistent link: https://www.econbiz.de/10014178027
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Bootstrapping the Conditional Moment Test for Parametric Duration Models
Prieger, James E. - 2005
This letter evaluates the performance of auxiliary regression-based specification tests for parametric duration models estimated with censored data. The test using asymptotic critical values has poor size. Bootstrapping corrects the size problem but results in a biased power curve
Persistent link: https://www.econbiz.de/10014067369
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Manipulation tests in regression discontinuity design : the need for equivalence testing
Fitzgerald, Jack - 2024
Researchers utilizing regression discontinuity design (RDD) commonly test for running variable (RV) manipulation around a cutoff, but incorrectly assert that insignificant manipulation test statistics are evidence of negligible manipulation. I introduce simple frequentist equivalence testing...
Persistent link: https://www.econbiz.de/10014584571
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Consistent pretesting for jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10010361470
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Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory
Doko Tchatoka, Firmin - 2017
We study the distribution of Durbin-Wu-Hausman (DWH) and Revankar-Hartley (RH) tests for exogeneity from a finite-sample viewpoint, under the null and alternative hypotheses. We consider linear structural models with possibly non-Gaussian errors, where structural parameters may not be identified...
Persistent link: https://www.econbiz.de/10012966708
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A unified approach to estimating and testing income distributions with grouped data
Chen, Yi-ting - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 438-455
Persistent link: https://www.econbiz.de/10012249172
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A nonparametric specification test for the volatility functions of diffusion processes
Chen, Qiang; Hu, Meidi; Song, Xiaojun - In: Econometric reviews 38 (2019) 5, pp. 557-576
Persistent link: https://www.econbiz.de/10012181335
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A two-step method for testing many moment inequalities
Bai, Yuehao; Santos, Andres; Shaikh, Azeem M. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1070-1080
Persistent link: https://www.econbiz.de/10013539439