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Artificial Regressions

Davidson, Russell; MacKinnon, James G. - 1999

heteroskedasticity of unknown form is introduced. …

Persistent link: https://www.econbiz.de/10011940607

Artificial regressions

Davidson, Russell; MacKinnon, James - 2001

heteroskedasticity of unknown form is introduced. …

Persistent link: https://www.econbiz.de/10010290410

Artificial Regressions

Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2001

heteroskedasticity of unknown form is introduced. …

Persistent link: https://www.econbiz.de/10005653239

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects

Bernard, Jean-Thomas; Dufour, Jean-Marie; Genest, Ian; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literatures. Although … that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap … conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type or …

Persistent link: https://www.econbiz.de/10005101027

Bootstrap Specification Tests for Diffusion Processes

Corradi, Valentina; Swanson, Norman R. - 2003

This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed test is closest to the non parametric test introduced by Ait-Sahalia (1996), in the sense that both procedures determine whether the drift and variance components of a...

Persistent link: https://www.econbiz.de/10010263219

A bootstrap test for instrument validity in heterogeneous treatment effect models

Kitagawa, Toru - 2013

This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. A necessary testable implication for the joint restriction of instrument exogeneity and instrument monotonicity is given...

Persistent link: https://www.econbiz.de/10010368206

A test for instrument validity

Kitagawa, Toru - 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/10011282657

Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

Conrad, Christian; Mammen, Enno - 2008

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

Persistent link: https://www.econbiz.de/10011422182

Improving the Reliability of Bootstrap Tests

Davidson, Russell; MacKinnon, James G. - 2000

We first propose procedures for estimating the rejection probabilities for bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive as estimating rejection probabilities for asymptotic tersts....

Persistent link: https://www.econbiz.de/10011940622

A joint specification test for response probabilities in unordered multinomial choice models

Iwasawa, Masamune - In: Econometrics 3 (2015) 3, pp. 667-697

Estimation results obtained by parametric models may be seriously misleading when the model is misspecified or poorly approximates the true model. This study proposes a test that jointly tests the specifications of multiple response probabilities in unordered multinomial choice models. The test...

Persistent link: https://www.econbiz.de/10011755299