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Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood

Otsu, Taisuke - 2008

We propose non-nested hypotheses tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...

Persistent link: https://www.econbiz.de/10012771848

Bootstraps, Permutation Tests, and Sampling Orders of Magnitude Faster Using SAS®

Opdyke, J.D. - 2017

While permutation tests and bootstraps have very wide-ranging application, both share a common potential drawback: as data-intensive resampling methods, both can be runtime prohibitive when applied to large or even medium-sized data samples drawn from large datasets. The data explosion over the...

Persistent link: https://www.econbiz.de/10012974353

A Note on Mixed Stable Limit Theory for the OLSE and the Robustness of Subsampling Wald Tests

Arvanitis, Stelios - 2015

We are occupied with a simple example concerning the limit theory of the OLSE when the innovation process of the regression has the form of a martingale transform the i.i.d. part of which lies in the domain of attraction of an \alpha-stable distribution, the scalling sequence has a potentially...

Persistent link: https://www.econbiz.de/10013011514

Testing for a Threshold in Models with Endogenous Regressors

Rothfelder, Mario - 2019

We propose two new parametric tests for an unknown threshold in models with endogenous regressors. They are both based on unconventional 2SLS estimators that use additional information about the linearity of the first stage. This information leads to more accurate residuals and therefore tests...

Persistent link: https://www.econbiz.de/10012860181

Testing for a Threshold in Models with Endogenous Regressors

Rothfelder, Mario - 2016

Using 2SLS estimation, we propose two tests for a threshold in models with endogenous regressors: a sup LR test and a … sup Wald test. Here, the 2SLS estimation is not conventional because it uses additional information about the first … and Hansen (2004) which is based on conventional GMM estimation. We derive the asymptotic distributions of the two tests …

Persistent link: https://www.econbiz.de/10012985845

Restricted Likelihood Ratio Tests in Predictive Regression

Phillips, Peter C. B. - 2014

Chen and Deo (2009a) proposed procedures based on restricted maximum likelihood (REML) for estimation and inference in … the context of predictive regression. Their method achieves bias reduction in both estimation and inference which assists …

Persistent link: https://www.econbiz.de/10013043159

Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - 2010

We propose novel misspecification tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010). We first demonstrate that given a preliminary estimator of either the drift or the diffusion term in a...

Persistent link: https://www.econbiz.de/10013146791

Inference with Difference-in-Differences Revisited

Brewer, Mike - 2014

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

Persistent link: https://www.econbiz.de/10013061928

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Andersen, Torben G. - 2020

This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all – or a subset – of the variables may be fractionally integrated and the...

Persistent link: https://www.econbiz.de/10012831312

A test of the conditional independence assumption in sample selection models

Huber, Martin; Melly, Blaise - 2012 - Last changes: September 2012

Identification in most sample selection models depends on the independence of the regressors and the error terms conditional on the selection probability. All quantile and mean functions are parallel in these models; this implies that quantile estimators cannot reveal any - per assumption...

Persistent link: https://www.econbiz.de/10009633861