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Comparing distributions : the harmonic mass index
Hinloopen, Jeroen; Marrewijk, Charles van - 2005
distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of … the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same … distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying …
Persistent link: https://www.econbiz.de/10011348352
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Comparing Distributions: The Harmonic Mass Index
Hinloopen, Jeroen; Marrewijk, Charles van - Tinbergen Institute - 2005
distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of … the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same … distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying …
Persistent link: https://www.econbiz.de/10005137302
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Comparing Distributions: The Harmonic Mass Index
Hinloopen, Jeroen; Marrewijk, Charles van - Tinbergen Instituut - 2005
distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of … the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same … distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying …
Persistent link: https://www.econbiz.de/10011257302
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Partial identification of the distribution of treatment effects and its confidence sets
Fan, Yanqin; Park, Sang Soo - Volkswirtschaftliche Fakultät, … - 2009
In this paper, we study partial identification of the distribution of treatment effects of a binary treatment for ideal … the sharp bounds on the distribution of treatment effects and construct asymptotically valid confidence sets for the … distribution of treatment effects; (ii) we propose bias-corrected estimators of the sharp bounds on the distribution of treatment …
Persistent link: https://www.econbiz.de/10009652944
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Comovements in the Real Activity of Developed and Emerging Economies: A Test of Global versus Specific International Factors
Djogbenou, Antoine A. - 2017
This paper proposes a statistical test for the decoupling of the comovements in the real activity of developed and emerging economies. Although globalization has shaped the world economy in recent decades, emerging economies such as China have experienced impressive growth compared to developed...
Persistent link: https://www.econbiz.de/10011939443
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Comovements in the real activity of developed and emerging economies : a test of global versus specific international factors
Djogbenou, Antoine A. - 2017
This paper proposes a statistical test for the decoupling of the comovements in the real activity of developed and emerging economies. Although globalization has shaped the world economy in recent decades, emerging economies such as China have experienced impressive growth compared to developed...
Persistent link: https://www.econbiz.de/10011756076
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Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
McAleer, Michael; Bai, Zhidong; Li, Hua; Wong, Wing-Keung - Facultad de Ciencias Económicas y Empresariales, … - 2012
We derive the limiting process of the stochastic dominance statistics for risk averters as well as for risk seekers when the underlying processes might be dependent or independent. We take account of the dependency of the partitions and propose a bootstrap method to decide the critical point. In...
Persistent link: https://www.econbiz.de/10010862569
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Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing-Keung - Institute of Economic Research, Kyoto University - 2012
We derive the limiting process of the stochastic dominance statistics for risk averters as well as for risk seekers when the underlying processes might be dependent or independent. We take account of the dependency of the partitions and propose a bootstrap method to decide the critical point. In...
Persistent link: https://www.econbiz.de/10010551390
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Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise
Ubukata, Masato; Oya, Kosuke - Graduate School of Economics, Osaka University - 2007
The cumulative covariance estimator in Hayashi and Yoshida (2005b) which suits for non-synchronous observations possibly has a bias in the presence of the observational noise. We propose the test statistic to detect whether the observational noise causes a measurable bias in the estimator of...
Persistent link: https://www.econbiz.de/10005710091
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A Test for Dependence and Covariance Estimator of Market Microstructure Noise
Ubukata, Masato; Oya, Kosuke - Graduate School of Economics, Osaka University - 2008
noises and an autocovariance estimator of the noises and derive its asymptotic distribution. The asymptotic distribution of …
Persistent link: https://www.econbiz.de/10005773314