Similar Search Results

Testing of parameter's instability in a balanced panel : an application to real effective exchange rate for SAARC countries

Agiwal, Varun; Kumar, Jitendra; Sharma, Sumit Kumar - 2017

Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and autoregressive coefficient. This model is extension of univariate model proposed by Meligkotsiduo et al. (2004) and review of existing panel data time series model considering break...

Persistent link: https://www.econbiz.de/10011785064

Testing missing at random using instrumental variables

Breunig, Christoph - 2017

This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic's...

Persistent link: https://www.econbiz.de/10011894725

Manipulation tests in regression discontinuity design : the need for equivalence testing

Fitzgerald, Jack - 2024

Researchers utilizing regression discontinuity design (RDD) commonly test for running variable (RV) manipulation around a cutoff, but incorrectly assert that insignificant manipulation test statistics are evidence of negligible manipulation. I introduce simple frequentist equivalence testing...

Persistent link: https://www.econbiz.de/10014584571

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

Testing the perturbation sensitivity of abortion-Crime regressions

Brzezinski, Michal; Halber, Maria - In: Contemporary economics 6 (2012) 2, pp. 58-63

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/10009767615

Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights

Pei, Pei - 2011

This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically … multivariate framework. For the fi rst time in the literature, it takes into account the estimation of portfolio weights in … forecasting portfolio VaR and its impact on backtesting. It shows that the estimation risk from estimating the portfolio weights …

Persistent link: https://www.econbiz.de/10013132320

Pitfalls in Backtesting Historical Simulation VAR Models

Escanciano, Juan Carlos - 2012

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

Persistent link: https://www.econbiz.de/10013108779

Minimizing Bias in Selection on Observables Estimators When Unconfoundness Fails

Millimet, Daniel L. - 2008

We characterize the bias of propensity score based estimators of common average treatment effect parameters in the case of selection on unobservables. We then propose a new minimum biased estimator of the average treatment effect. We assess the finite sample performance of our estimator using...

Persistent link: https://www.econbiz.de/10012724570

Variable selection and forecasting in high dimensional linear regressions with structural breaks

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012258549

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