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Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration

Yang, Lijian - 2017

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …

Persistent link: https://www.econbiz.de/10012966219

Testing the Perturbation Sensitivity of Abortion-Crime Regressions

Brzezinski, Michal; Halber, Maria - 2012

use a new data set on crime correlates for each of the US states, the original model specifica-tion and estimation …

Persistent link: https://www.econbiz.de/10014163484

Assessing the consistency of the fixed-effects estimator : a regression-based Wald test

Spierdijk, Laura - In: Empirical economics : a quarterly journal of the … 64 (2023) 4, pp. 1599-1630

Persistent link: https://www.econbiz.de/10014253710

Testing Exogeneity in Cross-Section Regression by Sorting Data

de Luna, Xavier; Johansson, Per - 2001

We introduce a framework to test for the exogeneity of a variable in a regression based on cross-sectional data. By sorting data with respect to a function (sorting score) of known exogenous variables, it is possible to utilize a battery of tools originally developed to detect model...

Persistent link: https://www.econbiz.de/10014131700

Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models

Ai, Chunrong; Linton, Oliver; Zhang, Zheng - In: Journal of econometrics 228 (2022) 1, pp. 39-61

Persistent link: https://www.econbiz.de/10013441723

Testing for quantile sample selection

Corradi, Valentina; Gutknecht, Daniel - In: The econometrics journal 26 (2023) 2, pp. 147-173

Persistent link: https://www.econbiz.de/10014319284

Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk

Corradi, Valentina; Fosten, Jack; Gutknecht, Daniel - In: Journal of econometrics 236 (2023) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10014365517

Tests of no cross-sectional error dependence in panel quantile regressions

Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...

Persistent link: https://www.econbiz.de/10014366629

Short T dynamic panel data models with individual, time and interactive effects

Hayakawa, Kazuhiko; Pesaran, M. Hashem; Smith, L. Vanessa - In: Journal of applied econometrics 38 (2023) 6, pp. 940-967

Persistent link: https://www.econbiz.de/10014432201

A cross-sectional asset pricing test with more power : an instrumental variable approach

Hur, Jungshik - 2024

Persistent link: https://www.econbiz.de/10015050153