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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

A discrete model for bootstrap iteration

Davidson, Russell - 2015

In an attempt to free bootstrap theory from the shackles of asymptotic considerations, this paper studies the … possibility of justifying, or validating, the bootstrap, not by letting the sample size tend to infinity, but by considering the … sequence of bootstrap P values obtained by iterating the bootstrap. The main idea of the paper is that, if this sequence …

Persistent link: https://www.econbiz.de/10011295590

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

Power properties of the Sargan test in the presence of measurement errors in dynamic panels

Dahlberg, Matz; Mörk, Eva; Tovmo, Per - 2002

Persistent link: https://www.econbiz.de/10001699738

Testing for stationarity in a cointegrated system

Kunst, Robert M. - 2002

Persistent link: https://www.econbiz.de/10001690032

Simulated classical tests in the multiperiod multinomial probit model

Ziegler, Andreas - 2002

This paper compares direrent versions of the simulated counterparts of the Wald test, the score test, and the likelihood ratio test in the multiperiod multinomial probit model. Monte Carlo experiments show that the simple form of the simulated likelihood ratio test delivers the most favorable...

Persistent link: https://www.econbiz.de/10001678183

Simulation-based finite-sample linearity test against smooth transition models

González, Andrés (contributor); … - 2005

In this paper we use Monte Carlo testing techniques for testing linearity against the smooth transition models. The Monte Carlo approach allows us to introduce a new test that differs from the tests existing in the literature in two respects. First, the test is exact in the sense that the...

Persistent link: https://www.econbiz.de/10003073820

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10001731828

A Scaled Difference Chi-Square Test Statistic for Moment Structure Analysis

Satorra, Albert; Bentler, Peter M. - 2000

A family of scaling corrections aimed to improve the chi-square approximation of goodness-of-fit test statistics in small samples, large models, and nonnormal data was proposed in Satorra and Bentler (1994). For structural equations models, Satorra-Bentler's (SB) scaling corrections are...

Persistent link: https://www.econbiz.de/10014173788