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A new matrix statistic for the hausman endogeneity test under heteroskedasticity

Papadopoulos, Alecos - In: Econometrics : open access journal 11 (2023) 4, pp. 1-11

We derive a new matrix statistic for the Hausman test for endogeneity in cross-sectional Instrumental Variables estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study examines the performance of the statistic for different...

Persistent link: https://www.econbiz.de/10014507912

An intersection-union test for the sharpe ratio

Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13

An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...

Persistent link: https://www.econbiz.de/10011866388

Efficiency gains by modifying GMM estimation in linear models under heteroskedasticity

Kiviet, J. F.; School of Humanities and Social Sciences … - 2014 - Version of 10 November 2014

While coping with nonsphericality of the disturbances, standard GMM suffers from a blind spot for exploiting the most effective instruments when these are obtained directly from unconditional rather than conditional moment assumptions. For instance, standard GMM counteracts that exogenous...

Persistent link: https://www.econbiz.de/10010438000

Efficiency Gains by Modifying GMM Estimation in Linear Models Under Heteroskedasticity

Kiviet, Jan F.; Feng, Qu - 2021

Persistent link: https://www.econbiz.de/10013315558

Estimating linear dynamic panels with recentered moments

Bao, Yong - In: Econometrics : open access journal 12 (2024) 1, pp. 1-48

This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent variables and expressing the crossmoments between the endogenous lagged dependent variables and disturbances in terms of model parameters. These moments, when recentered, form the...

Persistent link: https://www.econbiz.de/10014636394

Improving weighted least squares inference

DiCiccio, Cyrus J.; Romano, Joseph P.; Wolf, Michael - 2016

In the presence of conditional heteroskedasticity, inference about the coefficients in a linear regression model these days is typically based on the ordinary least squares estimator in conjunction with using heteroskedasticity consistent standard errors. Similarly, even when the true form of...

Persistent link: https://www.econbiz.de/10011518606

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Andrews, Donald W. K. - 2012

This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...

Persistent link: https://www.econbiz.de/10013096518

Nonparametric HAC Estimation for Time Series Data with Missing Observations

Datta, Deepa - 2012

The Newey and West (1987) estimator has become the standard way to estimate a heteroskedasticity and autocorrelation consistent (HAC) covariance matrix, but it does not immediately apply to time series with missing observations. We demonstrate that the intuitive approach to estimate the true...

Persistent link: https://www.econbiz.de/10013097469

Heteroscedastic Analysis in Nonlinear Modeling

Louangrath, Paul - 2013

nonlinear model. At the heart of nonlinear modeling is the concept of heteroscedasticity. Heteroscedasticity refers to the non … presence of heteroscedasticity may cast doubt on the proposed model if the noise from Xt is big; otherwise, it is no cause for … concern. If the model is a good model, the existence of heteroscedasticity among the independent variable would not vitiate …

Persistent link: https://www.econbiz.de/10013076070

LAD Asymptotics Under Conditional Heteroskedasticity with Possibly Infinite Error Densities

Cho, Jin Seo - 2009

Least absolute deviations (LAD) estimation of linear time-series models is considered under conditional heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density condition for the errors that is required in standard LAD...

Persistent link: https://www.econbiz.de/10013159223

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