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The law of aggregate demand : empirical evidence from India using nonparametric direct average derivative estimation procedure

Chakrabarty, Manisha - 2001

Persistent link: https://www.econbiz.de/10001645859

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

Log-Concave Probability Distributions : Theory and Statistical Testing

An, Mark Yuying - 1997

This paper studies aspects of the broad class of log-concave probability distributions that arise in the economics of uncertainty and information. Useful properties of univariate log-concave distributions are proven without imposing differentiability of density functions. We also discuss...

Persistent link: https://www.econbiz.de/10014177287

Quantile Regression on Multiple Quantile Ranges

Kuan, Chung-Ming; Michalopoulos, Christos; Xiao, Zhijie - 2014

Motivated by the fact that a linear speci fication in a quantile regression setting is unable to describe the non-linear relations among economic variables, as documented in the empirical econometrics literature, we are the first to formulate and analyze a multiple threshold quantile regression...

Persistent link: https://www.econbiz.de/10014180985

Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2011

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10014047091

Finite Sample Nonparametric Tests for Linear Regressions

Gossner, Olivier; Schlag, Karl H. - 2013

We introduce tests for finite-sample linear regressions with heteroskedastic errors. The tests are exact, i.e., they have guaranteed type I error probabilities when bounds are known on the range of the dependent variable, without any assumptions about the noise structure. We provide upper bounds...

Persistent link: https://www.econbiz.de/10014197050

Nonparametric Bootstrap Tests for Independence of Generalized Errors

Du, Zaichao - 2015

problem, we propose a multiplier-type bootstrap to approximate the limit distribution. Our bootstrap procedure is … computationally very simple as it does not require a reestimation of the parameters in each bootstrap replication. In a simulation …

Persistent link: https://www.econbiz.de/10014199756

Testing a Parametric Function Against a Nonparametric Alternative in IV and GMM Settings

Gørgens, Tue; Wurtz, Allan - 2009

This paper develops a specification test for functional form for models identified by moment restrictions, including IV and GMM settings. The general framework is one where the moment restrictions are specified as functions of data, a finite-dimensional parameter vector, and a nonparametric real...

Persistent link: https://www.econbiz.de/10014200774

Nonparametric Tests of Conditional Treatment Effects

Lee, Sokbae; Whang, Yoon-jae - 2009

We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment...

Persistent link: https://www.econbiz.de/10014201084

An Improved Bootstrap Test of Stochastic Dominance

Linton, Oliver; Song, Kyungchul; Whang, Yoon-jae - 2009

We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap … the variables are allowed to be residuals from nonparametric and semiparametric models. The proposed bootstrap tests have … in general. The improvement stems from the design of the bootstrap test whose limiting behavior mimics the discontinuity …

Persistent link: https://www.econbiz.de/10014206207