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Nonparametric Inference Based on Conditional Moment Inequalities

Andrews, Donald W. K. - 2013

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/10013074673

Statistical Inference

Zuev, Konstantin - 2018

What is Statistics? Opinions vary. In fact, there is a continuous spectrum of attitudes toward statistics ranging from pure theoreticians, proving asymptotic efficiency and searching for most powerful tests, to wild practitioners, blindly reporting p-values and claiming statistical significance...

Persistent link: https://www.econbiz.de/10012927199

Alternative Estimators of Cointegrating Parameters in Models With Non-Stationary Data : An Application to US Export Demand

Forest, James J. - 2009

ordinary least squares (DOLS) estimator and Bewley's transformation of the general autoregressive distributed lag model. The …

Persistent link: https://www.econbiz.de/10013157499

Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-Stationary Return Series Model

Gürtler, Marc - 2009

. Consistency and asymptotic normality of a symmetric and of a one-sided kernel estimator of volatility are outlined with remarks on …

Persistent link: https://www.econbiz.de/10013159079

A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns

Köksal, Bülent - 2009

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

Persistent link: https://www.econbiz.de/10013159436

An Introduction to Bootstrap Theory in Time Series Econometrics

Cavaliere, Giuseppe - 2020

This article provides an introduction to methods and challenges underlying application of the bootstrap in econometric modelling of economic and financial time series. Validity, or asymptotic validity, of the bootstrap is discussed as this is a key element in deciding whether the bootstrap is...

Persistent link: https://www.econbiz.de/10012835479

Likelihood Based Testing for No Fractional Cointegration

Lasak, Katarzyna - 2008

We consider two likelihood ratio tests, so-called maximum eigenvalue and trace tests, for the null of no cointegration when fractional cointegration is allowed under the alternative, which is a first step to generalize the so-called Johansen's procedure to the fractional cointegration case. The...

Persistent link: https://www.econbiz.de/10012723169

Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection

Andrews, Donald W. K. - 2007

The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new class of confidence sets and tests based on generalized moment selection (GMS). GMS procedures are...

Persistent link: https://www.econbiz.de/10012775831

Finite-Sample Generalized Confidence Distributions and Sign-Based Robust Estimators In Median Regressions with Heterogeneous Dependent Errors

Coudin, Elise - 2017

maximizing test p-values and inherit robustness properties from the generating distribution-free tests. Both finite-sample and … unbiased (under symmetry and estimator unicity) and possess equivariance properties. Consistency and asymptotic normality are …

Persistent link: https://www.econbiz.de/10012962776

Inference When There is a Nuisance Parameter under the Alternative and Some Parameters are Possibly Weakly Identified

Hill, Jonathan B. - 2018

We present a new robust bootstrap method for a test when there is a nuisance parameter under the alternative, and some … parameters are possibly weakly or non-identified. We focus on a Bierens (1990)-type conditional moment test of omitted …-value which promotes a conservative test that is generally not consistent, and test statistic transforms like the supremum and …

Persistent link: https://www.econbiz.de/10012909478