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A Nonparametric Least-Squares Test for Checking a Polynomial Relationship

Gijbels, Irene; Rousson, V. - 2000

In this paper the interest is in testing whether a regression function is polynomial of a certain degree. One possible approach to this testing problem is to do a parametric polynomial fit and a nonparametric fit and to reject the null hypothesis of a polynomial function if the distance between...

Persistent link: https://www.econbiz.de/10014165119

Subset Hypotheses Testing and Instrument Exclusion in the Linear IV Regression

Doko Tchatoka, Firmin - 2012

, an infinite number of instruments are available for use in large sample estimation. This is particularly the case with …

Persistent link: https://www.econbiz.de/10013115089

Threshold Asymmetries in Equity Return Distributions : Statistical Tests and Investment Implications

Yoldas, Emre - 2011

In this paper we investigate asymmetries in time-varying means, volatilities, correlations, and betas of equity returns in a multivariate threshold framework. We consider alternative specifications in which the threshold variable is based on well-established equity pricing factors and...

Persistent link: https://www.econbiz.de/10013118202

A Test of the Conditional Independence Assumption In Sample Selection Models

Huber, Martin - 2012

Identi cation 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/10013100335

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/10013108232

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

Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models

Kristensen, Dennis - 2009

A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class …

Persistent link: https://www.econbiz.de/10013156186

Testing Covariates in High Dimensional Regression

Lan, Wei - 2013

In a high dimensional linear regression model, we propose a new procedure for testing statistical significance of a subset of regression coefficients. Specifically, we employ the partial covariances between the response variable and the tested covariates to obtain a test statistic. The resulting...

Persistent link: https://www.econbiz.de/10013082410

Select the Valid and Relevant Moments : A One-Step Procedure for GMM with Many Moments

Cheng, Xu - 2013

This paper considers the selection of valid and relevant moments for the generalized method of moments (GMM) estimation …-selection estimation. The new moment selection method is achieved via an information-based adaptive GMM shrinkage estimation, where an … appropriate penalty is attached to the standard GMM criterion to link moment selection to shrinkage estimation. The penalty is …

Persistent link: https://www.econbiz.de/10013089571

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models

Gospodinov, Nikolay - 2014

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

Persistent link: https://www.econbiz.de/10013068341