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MacKinnon, James G. - 2007

This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of … computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that … there are many different procedures for generating bootstrap samples for regression models and other types of model. As an …

Persistent link: https://www.econbiz.de/10011940741

How to implement the Bootstrap in Static or Stable Dynamic Regression Models

van Giersbergen, Noud P.A.; Kiviet, Jan F. - 2001

different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …

Persistent link: https://www.econbiz.de/10010324912

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

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

How to implement the bootstrap in static or stable dynamic regression models

Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001

different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …

Persistent link: https://www.econbiz.de/10011325661

Bootstrap DEA and hypothesis testing

Tziogkidis, Panagiotis - 2012

requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade …, which could be extended to test almost any hypothesis in bootstrap DEA. Moreover, it enhances the intuition behind bootstrap …

Persistent link: https://www.econbiz.de/10009583705

The Romano-Wolf multiple hypothesis correction in Stata

Clarke, Damian; Romano, Joseph P.; Wolf, Michael - 2019

When considering multiple hypothesis tests simultaneously, standard statistical techniques will lead to over-rejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this paper we discuss the Romano-Wolf multiple hypothesis correction, and...

Persistent link: https://www.econbiz.de/10012147332

Small sample adjustment for hypotheses testing on cointegrating vectors

Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85

Persistent link: https://www.econbiz.de/10013260145

Small Sample Properties of the Wilcoxon Signed RankTest with Discontinuous and Dependent Observations

Chlaß, Nadine; Krüger, Jens J. - Max-Planck-Institut für Ökonomik <Jena> / Abteilung … - 2007

This Monte-Carlo study investigates sensitivity of the Wilcoxon signed rank test to certainassumption violations in small samples. Emphasis is put on within-sample-dependence,between-sample dependence, and the presence of ties. Our results show that both assumptionviolations induce severe size...

Persistent link: https://www.econbiz.de/10005866604

Small sample properties of the Wilcoxon signed rank test with discontinuous and dependent observations

Chlaß, Nadine; Krüger, Jens J. - 2007

This Monte-Carlo study investigates sensitivity of the Wilcoxon signed rank test to certain assumption violations in small samples. Emphasis is put on within-sample-dependence, between-sample dependence, and the presence of ties. Our results show that both assumption violations induce severe...

Persistent link: https://www.econbiz.de/10010263795