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Nonparametric Inference Based on Conditional Moment Inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - Cowles Foundation for Research in Economics, Yale University - 2011
nonparametric conditional quantile model with censoring and a nonparametric conditional treatment effect model. The recommended CS/test … uses a Cramer-von-Mises-type test statistic and employs a generalized moment selection critical value. …
Persistent link: https://www.econbiz.de/10009399648
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Applications of Subsampling, Hybrid, and Size-Correction Methods
Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2007
that the test statistics of interest exhibit a discontinuity in their limit distribution as a function of a parameter in …
Persistent link: https://www.econbiz.de/10005093953
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Nonparametric inference based on conditional moment inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - In: Journal of Econometrics 179 (2014) 1, pp. 31-45
nonparametric conditional quantile model with censoring and a nonparametric conditional treatment effect model. The recommended CS/test … uses a Cramér–von-Mises-type test statistic and employs a generalized moment selection critical value. …
Persistent link: https://www.econbiz.de/10010738119
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A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2011
modification of Mikusheva's (2007a) modification of Stock's (1991) CI that employs the least squares estimator and a … heteroskedasticity-robust variance estimator. The CI is shown to have correct asymptotic size and to be asymptotically similar (in a …
Persistent link: https://www.econbiz.de/10011184579
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Nonparametric Inference Based on Conditional Moment Inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - Cowles Foundation for Research in Economics, Yale University - 2011
nonparametric conditional quantile model with censoring and a nonparametric conditional treatment effect model. The recommended CS/test … uses a Cramer-von-Mises-type test statistic and employs a generalized moment selection critical value. …
Persistent link: https://www.econbiz.de/10010895658
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Nonparametric Inference Based on Conditional Moment Inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - Cowles Foundation for Research in Economics, Yale University - 2011
nonparametric conditional quantile model with censoring and a nonparametric conditional treatment effect model. The recommended CS/test … uses a Cramer-von-Mises-type test statistic and employs a generalized moment selection critical value. …
Persistent link: https://www.econbiz.de/10010895670
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Bootstrapping econometric models (in Russian)
Davidson, Russell - In: Quantile (2007) 3, pp. 13-36
The bootstrap is a statistical technique used more and more widely in econometrics. While it is capable of yielding very reliable inference, some precautions should be taken in order to ensure this. Two “Golden Rules” are formulated that, if observed, help to obtain the best the bootstrap...
Persistent link: https://www.econbiz.de/10005569960
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On the validity of Durbin-Wu-Hausman tests for assessing partial exogeneity hypotheses with possibly weak instruments
Doko Tchatoka, Firmin - School of Economics and Finance, Tasmanian School of … - 2012
versions of these tests are invalid when identification is weak and the number of instruments is moderate. However, all tests … are overly conservative and have no power when the number of instruments increases, even for moderate identification …
Persistent link: https://www.econbiz.de/10010597133
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Uniform Inference in Nonlinear Models with Mixed Identification Strength
Cheng, Xu - Department of Economics, University of Pennsylvania - 2014
identification strength of the parameters. The robust test is uniformly valid and non-conservative. …The paper studies inference in nonlinear models where identification loss presents in multiple parts of the parameter … space. For uniform inference, we develop a local limit theory that models mixed identification strength. Building on this …
Persistent link: https://www.econbiz.de/10010822936
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On the Validity of Durbin-Wu-Hausman Tests for Assessing Partial Exogeneity Hypotheses with Possibly Weak Instruments
Doko Tchatoka, Firmin - Volkswirtschaftliche Fakultät, … - 2012
versions of these tests are invalid when identification is weak and the number of instruments is moderate. However, all tests … are overly conservative and have no power when the number of instruments increases, even for moderate identification …
Persistent link: https://www.econbiz.de/10011113887