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Har testing for spurious regression in trend

Phillips, Peter C. B.; Wang, XiaoHu; Zhang, Yonghui - In: Econometrics 7 (2019) 4, pp. 1-28

The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests...

Persistent link: https://www.econbiz.de/10012696265

Frequency-domain evidence for climate change

Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Econometrics 8 (2020) 3, pp. 1-15

The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...

Persistent link: https://www.econbiz.de/10012696291

Robust tests for ARCH in the presence of a misspecified conditional mean: A comparison of nonparametric approaches

Maki, Daiki; Ota, Yasushi - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-18

This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean. The approaches employed are based on two nonparametric regressions for the conditional mean: an ARCH test with a...

Persistent link: https://www.econbiz.de/10014001583

Specification testing in random coefficient models

Breunig, Christoph; Hoderlein, Stefan - In: Quantitative Economics 9 (2018) 3, pp. 1371-1417

In this paper, we suggest and analyze a new class of specification tests for random coefficient models. These tests allow to assess the validity of central structural features of the model, in particular linearity in coefficients, generalizations of this notion like a known nonlinear functional...

Persistent link: https://www.econbiz.de/10012215361

Inference under covariate-adaptive randomization with multiple treatments

Bugni, Federico A.; Canay, Ivan A.; Shaikh, Azeem M. - In: Quantitative Economics 10 (2019) 4, pp. 1747-1785

variance are invalid in the sense that they may have limiting rejection probability under the null hypothesis strictly greater … variance that we provide are exact in the sense that they have limiting rejection probability under the null hypothesis equal …-consistent estimator of the asymptotic variance are conservative in the sense that they have limiting rejection probability under the null …

Persistent link: https://www.econbiz.de/10012215409

Inference in nonparametric/semiparametric moment equality models with shape restrictions

Zhu, Yu - In: Quantitative Economics 11 (2020) 2, pp. 609-636

This paper studies the inference problem of an infinite-dimensional parameter with a shape restriction. This parameter is identified by arbitrarily many unconditional moment equalities. The shape restriction leads to a convex restriction set. I propose a test of the shape restriction, which...

Persistent link: https://www.econbiz.de/10012215427

Testing identifying assumptions in fuzzy regression discontinuity designs

Arai, Yoichi; Hsu, Yu-Chin; Kitagawa, Toru; Mourifié, … - In: Quantitative Economics 13 (2022) 1, pp. 1-28

We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD-validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the...

Persistent link: https://www.econbiz.de/10014537004

Information theoretic approach to high-dimensional multiplicative models: Stochastic discount factor and treatment effect

Qiu, Chen; Otsu, Taisuke - In: Quantitative Economics 13 (2022) 1, pp. 63-94

This paper is concerned with estimation of functionals of a latent weight function that satisfies possibly high-dimensional multiplicative moment conditions. Main examples are functionals of stochastic discount factors in asset pricing, missing data problems, and treatment effects. We propose to...

Persistent link: https://www.econbiz.de/10014537022

Über die Vorteilhaftigkeit von Copula-GARCH-Modellen im finanzwirtschaftlichen Risikomanagement

Weiß, Gregor N. F. - In: Kredit und Kapital 44 (2011) 4, pp. 543-577

Über die Vorteilhaftigkeit von Copula-GARCH-Modellen im finanzwirtschaftlichen Risikomanagement Im Fokus des vorliegenden Beitrages stehen zwei Fragen: Wann sollte ein Copula-GARCH-Modell einem korrelationsbasierten Modell vorgezogen werden? Und welche parametrische Copula-Form sollte in diesem...

Persistent link: https://www.econbiz.de/10014524020

Enhanced mean ratio estimators of auxiliary variables based on the linear mixture of variances

Saddam, Damisa A.; Abdullahi, Jamila; Nura, Umar - In: CBN Journal of Applied Statistics 09 (2018) 2, pp. 1-16

variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the …This paper incorporates the variance of auxiliary variables to propose three improved ratio estimators of population …

Persistent link: https://www.econbiz.de/10012229194