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Broda, Simon A.; Kan, Raymond - 2013

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

Persistent link: https://www.econbiz.de/10010227300

Specification tests for partially identified models defined by moment inequalities

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014 - Ver. 6.0: April 4, 2014

This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e. (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...

Persistent link: https://www.econbiz.de/10010340367

Specification tests for partially identified models defined by moment inequalities

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2013

This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e., (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...

Persistent link: https://www.econbiz.de/10009692018

Specification testing in Hawkes models

Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - 2015

We propose various specification tests for Hawkes models based on the Lagrange Multiplier (LM) principle. Hawkes models can be used to model the occurrence of extreme events in financial markets. Our specific testing focus is on extending a univariate model to a multivariate model, that is, we...

Persistent link: https://www.econbiz.de/10011298883

Identification and inference in a simultaneous equation under alternative information sets and sampling schemes

Kiviet, J. F. - 2012

Persistent link: https://www.econbiz.de/10010190991

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

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

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

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

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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