Search Results - subject:":Specification testing"

Testing a linear dynamic panel data model against nonlinear alternatives

Lee, Yoon-jin - In: Journal of econometrics 178 (2014) 1, pp. 146-166

Persistent link: https://www.econbiz.de/10010255452

A structural econometric analysis of the informal sector heterogeneity

Nguimkeu, Pierre - In: Journal of Development Economics 107 (2014) C, pp. 175-191

Understanding the informal sector – that represents about 60–90% of urban employment in developing countries – has a significant importance for any strategy and policy interventions aiming to alleviate poverty and improve welfare. I formulate and estimate a model of entrepreneurial choice...

Persistent link: https://www.econbiz.de/10010753710

Econometrics of Ascending Auctions by Quantile Regression

Gimenes, Nathalie - Departamento de Economia, Faculdade de Economia, … - 2014

This paper suggests an identification and estimation approach based on quantile regression to recover the underlying distribution of bidders' private values in ascending auctions under the IPV paradigm. The quantile regression approach provides a flexible and convenient parametrization of the...

Persistent link: https://www.econbiz.de/10010942050

Testing a linear dynamic panel data model against nonlinear alternatives

Lee, Yoon-Jin - In: Journal of Econometrics 178 (2014) P1, pp. 146-166

The most popular econometric models in the panel data literature are the class of linear panel data models with unobserved individual- and/or time-specific effects. The consistency of parameter estimators and the validity of their economic interpretations as marginal effects depend crucially on...

Persistent link: https://www.econbiz.de/10010730138

Volatility activity: Specification and estimation

Todorov, Viktor; Tauchen, George; Grynkiv, Iaryna - In: Journal of Econometrics 178 (2014) P1, pp. 180-193

The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparametric statistics using high-frequency option-based VIX data to test for asymmetry in volatility jumps. We also develop methods for...

Persistent link: https://www.econbiz.de/10010730150

Stochastic volatility : maximum likelihood estimation and specification testing

White, Scott Ian - 2006

and specification testing procedure for SV models is introduced that significantly overcomes the operational issues … surrounding existing estimators.The estimation and specification testing procedures in this thesis are made possible by the … with closed form likelihood and transition functions. Likelihood based specification testing for non-nested SV …

Persistent link: https://www.econbiz.de/10009437989

Comparing Nonparametric Regression Quantiles

Huse, Cristian - Econometric Society - 2004

This paper investigates how conditional quantiles of a given distribution relate to each other. Given two conditional quantiles estimated nonparametrically, we investigate their relation by linking them through a parametric transformation. Asymptotic normality of the associated parameter vector...

Persistent link: https://www.econbiz.de/10005699609

Specification Testing for Multivariate Time Series Volatility Models

Lee, Yoon-Jin; Hong, Yongmiao - Econometric Society - 2004

Volatility models have been playing an important role in economics and finance. Using a multivariate generalized spectral approach, we propose a new class of generally applicable omnibus tests for univariate and multivariate volatility models. Both GARCH models and stochastic volatility models...

Persistent link: https://www.econbiz.de/10005342373

A nonparametric test of exogeneity

Blundell, Richard W.; Horowitz, Joel - 2004

It satisfies mild regularity conditions but is otherwise unknown. The paper presents test of the hypothesis that g is the mean of a random variable Y conditional on a covariate X . The need to test this hypothesis arises frequently in economics. The test does not require nonparametric...

Persistent link: https://www.econbiz.de/10010318515

Testing a parametric model against a nonparametric alternative with identification through instrumental variables

Horowitz, Joel - 2004

This paper is concerned with inference about a function g that is identified by a conditional moment restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test...

Persistent link: https://www.econbiz.de/10010318518