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Chi-squared tests for evaluation and comparison of asset pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2011

This paper presents a general statistical framework for estimation, testing, and comparison of asset pricing models …

Persistent link: https://www.econbiz.de/10008909027

Testing weak cross-sectional dependence in large panels

Pesaran, M. Hashem - 2012

This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent (CD), using the exponent of cross-sectional dependence introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...

Persistent link: https://www.econbiz.de/10009533962

Testing weak cross-sectional dependence in large panels

Pesaran, M. Hashem - 2012

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent, using the exponent of cross-sectional dependence α, introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...

Persistent link: https://www.econbiz.de/10009534988

Two independent pivotal statistics that test location and misspecification and add up to the Anderson-Rubin statistic

Kleibergen, Frank - 2002

We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv-otal statistics. One statistic is a score statistic that tests location and the other statistictests misspecification. The chi-squared distribution of the location statistic has a degreesof freedom parameter that is...

Persistent link: https://www.econbiz.de/10011326948

Strongly consistent determination of the rank of matrix

Ratsimalahelo, Zaka - 2003 - This version: June 21, 2003

In this paper, we develop methods of the determination of the rank of random matrix. Using the matrix perturbation theory to construct or find a suitable bases of the kernel (null space) of the matrix and to determine the limiting distribution of the estimator of the smallest singular values. We...

Persistent link: https://www.econbiz.de/10011513001

Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models

Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

Persistent link: https://www.econbiz.de/10010476668

Cointegrating polynomial regressions : fully modified OLS estimation and inference

Hong, Seung Hyun; Wagner, Martin - 2011

. -- cointegrating polynomial regression ; fully modified OLS estimation ; integrated process , testing …

Persistent link: https://www.econbiz.de/10009686189

A correction function approach to solve the incidental parameter problem

Li, Guangjie; Leon-Gonzalez, Roberto - 2009

estimation and model comparison. The results based on the simulated data sets suggest that our method could achieve consistency … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter … problem ; consistency in estimation ; model selection ; Bayesian model averaging ; Markov chain Monte Carlo (MCMC) …

Persistent link: https://www.econbiz.de/10003817215

General diagnostic tests for cross section dependence in panels

Pesaran, M. Hashem - 2004

This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N. The proposed tests are based on average of pair-wise correlation coefficients of...

Persistent link: https://www.econbiz.de/10011449852

Inference with difference-in-differences revisited

Brewer, Mike; Crossley, Thomas F.; Joyce, Robert - 2013

real effects; and (iii) feasible GLS estimation combined with robust inference can increase power considerably whilst …

Persistent link: https://www.econbiz.de/10010221878