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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - 2014
This paper introduces a new hypothesis test for the null hypothesis H0 : f(Ø) = Y0, where f(.) is a known function, Y0 is a known constant, and Ø is a parameter that is partially identified by a moment (in)equality model. The main application of our test is sub-vector inference in moment...
Persistent link: https://www.econbiz.de/10010368194
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Specification tests for partially identified models defined by moment inequalities
Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - 2014
This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e. (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...
Persistent link: https://www.econbiz.de/10010368196
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - 2014
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. As a special case, our method yields marginal confidence sets for individual coordinates of this parameter vector. Our inference method controls asymptotic size...
Persistent link: https://www.econbiz.de/10010368201
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Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation
Mantalos, Panagiotis - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-12
heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) and examine their properties using Monte … Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS-modified critical … values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS …
Persistent link: https://www.econbiz.de/10011988724
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Inference for subvectors and other functions of partially identified parameters in moment inequality models
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - In: Quantitative Economics 8 (2017) 1, pp. 1-38
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. These functions are restricted to be linear for two-sided testing problems, but may be nonlinear for one-sided testing problems. In the most common case, this function...
Persistent link: https://www.econbiz.de/10011995481
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - 2015
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. As a special case, our method yields marginal confidence sets for individual coordinates of this parameter vector. Our inference method controls asymptotic size...
Persistent link: https://www.econbiz.de/10011445755
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Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation
Mantalos, Panagiotis - 2012
heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) in Politis (2007) and examine their … properties using Monte Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS …-modified critical values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS …
Persistent link: https://www.econbiz.de/10012654372
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Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012
Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...
Persistent link: https://www.econbiz.de/10010309829
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Specification tests for partially identified models defined by moment inequalities
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2013
This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e., (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...
Persistent link: https://www.econbiz.de/10010318712
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Validierung von Konzepten zur Messung des Marktrisikos : insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012
Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...
Persistent link: https://www.econbiz.de/10009575075