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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
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Artificial regressions
Davidson, Russell; MacKinnon, James - 2001
heteroskedasticity of unknown form is introduced. …
Persistent link: https://www.econbiz.de/10010290410
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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
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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
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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
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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
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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
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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
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Layered policy analysis program evaluation using the marginal treatment effect
Mourifié, Ismael; Wan, Yuanyuan - 2021
This paper proposes a unified approach to derive sharp bounds on all conventional policy parameters when the instrumental variables (IVs) are potentially invalid. Using a Vine Copula approach, we propose a novel characterization of the identified sets for the marginal treatment effect (MTE) and...
Persistent link: https://www.econbiz.de/10012621159
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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