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Bootstrap Hypothesis Testing
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
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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
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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
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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
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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
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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
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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
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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
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Testing for stationarity in a cointegrated system
Kunst, Robert M. - 2002
In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root tests on the same variables. Using a framework of Bayes...
Persistent link: https://www.econbiz.de/10010292762
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Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance: Some Monte Carlo evidence
Caporale, Guglielmo Maria; Pittis, Nikitas - 2004
This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests (Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these tests perform better in the context of a dynamic model of...
Persistent link: https://www.econbiz.de/10010293734