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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - School of Economics and Finance, Tasmanian School of … - 2012
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-squares methods). We observe that endogeneity parameters may not identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10010835571
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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - Volkswirtschaftliche Fakultät, … - 2012
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-squares methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10011107877
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Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models
TCHATOKA, Firmin DOKO; DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2014
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-square methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10010894992
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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - In: The econometrics journal 17 (2014) 1, pp. 165-187
Persistent link: https://www.econbiz.de/10010498748
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Testing exogeneity under distributional misspecification
de Luna, Xavier; Johansson, Per - 2001
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...
Persistent link: https://www.econbiz.de/10010321023
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Testing exogeneity under distributional misspecification
DeLuna, Xavier; Johansson, Per-Olov - 2001
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...
Persistent link: https://www.econbiz.de/10011571651
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Testing exogeneity under distributional misspecification
de Luna, Xavier; Johansson, Per - Institutet för Arbetsmarknads- och Utbildningspolitisk … - 2001
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...
Persistent link: https://www.econbiz.de/10005207254
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Testing for Partial Exogeneity with Weak Identification
Doko Tchatoka, Firmin - 2012
We consider the following problem. A structural equation of interest contains two sets of explanatory variables which economic theory predicts may be endogenous. The researcher is interesting in testing the exogeneity of only one of them. Standard exogeneity tests are in general unreliable from...
Persistent link: https://www.econbiz.de/10013104919
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Systematic Testing of Systematic Trading Strategies
Perumal, Kovlin - 2018
Systematic trading is a method that is currently extremely popular in the investment world. The testing of systematic trading rules is usually done through backtesting and is at high risk of spurious accuracy as a result of the data-mining bias (DMB) present from testing multiple rules...
Persistent link: https://www.econbiz.de/10012926266
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Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models
Doko Tchatoka, Firmin - 2014
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-square methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10013057771