Similar Search Results

Bootstrap tests for overidentification in linear regression models

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

We study the finite-sample properties of tests for overidentifying restrictions in linear regression models with a single endogenous regressor and weak instruments. Under the assumption of Gaussian disturbances, we derive expressions for a variety of test statistics as functions of eight...

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

Testing for selection bias

Joo, Joonhwi; LaLonde, Robert John - 2014

This paper uses the control function to develop a framework for testing for selection bias. The idea behind our … magnitude of potential selection bias. Averaging this correction term with respect to appropriate weights yields the degree of … selection bias for alternative treatment effects of interest. One advantage of our framework is that it motivates when is …

Persistent link: https://www.econbiz.de/10010407986

A homogeneous approach to testing for granger non-causality in heterogeneous panels

Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis - 2020

Persistent link: https://www.econbiz.de/10012610528

A homogeneous approach to testing for Granger non-causality in heterogeneous panels

Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis - In: Empirical economics : a quarterly journal of the … 60 (2021) 1, pp. 93-112

Persistent link: https://www.econbiz.de/10012488894

Two independent pivotal statistics that test location and misspecification and add up to the Anderson-Rubin statistic

Kleibergen, Frank - 2002

We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv-otal statistics. One statistic is a score statistic that tests location and the other statistictests misspecification. The chi-squared distribution of the location statistic has a degreesof freedom parameter that is...

Persistent link: https://www.econbiz.de/10011326948

Strongly consistent determination of the rank of matrix

Ratsimalahelo, Zaka - 2003 - This version: June 21, 2003

In this paper, we develop methods of the determination of the rank of random matrix. Using the matrix perturbation theory to construct or find a suitable bases of the kernel (null space) of the matrix and to determine the limiting distribution of the estimator of the smallest singular values. We...

Persistent link: https://www.econbiz.de/10011513001

Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

Kristensen, Dennis - 2010

In this paper, we consider a general class of vector error correction models which allow for asymmetric and non-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General hypothesis testing is considered, where testing for...

Persistent link: https://www.econbiz.de/10013137281

A Test of Covariance Matrix Forecasting Methods

Zakamulin, Valeriy - 2019

Providing a more accurate covariance matrix forecast can substantially improve the performance of optimized portfolios. Using out-of-sample tests, in this paper, we evaluate alternative covariance matrix forecasting methods by looking at (1) their forecast accuracy, (2) their ability to track...

Persistent link: https://www.econbiz.de/10012904973

Rank Tests for Instrumental Variables Regression with Weak Instruments

Andrews, Donald W. K.; Soares, Gustavo - 2006

This paper considers tests in an instrumental variables (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and strong IVs have been determined in Andrews, Moreira, and Stock (2006a). In this paper, we seek...

Persistent link: https://www.econbiz.de/10014059052

Admissible Invariant Similar Tests for Instrumental Variables Regression

Chernozhukov, Victor; Hansen, Christian; Jansson, Michael - 2007

This paper studies a model widely used in the weak instruments literature and establishes admissibility of the weighted average power likelihood ratio tests recently derived by Andrews, Moreira, and Stock (2004). The class of tests covered by this admissibility result contains the Anderson and...

Persistent link: https://www.econbiz.de/10014026286

1
2
3
4
5
6
7
8
9
10
Next
Last