Search Results - subject:"Finite sample inference"

Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated

Jönsson, Kristian - Nationalekonomiska Institutionen, Ekonomihögskolan - 2006

In this paper, we study the size distortions of the KPSS test for stationarity when serial correlation is present and samples are small and medium-sized. It is argued that two distinct sources of the size distortions can be identified. The first source is the finite-sample distribution of the...

Persistent link: https://www.econbiz.de/10005419356

RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS

Bond, Stephen; Windmeijer, Frank - In: Econometric Reviews 24 (2005) 1, pp. 1-37

, the LM test, and a simple criterion-difference test can provide more reliable finite sample inference in some cases. …

Persistent link: https://www.econbiz.de/10009228559

Finite-Sample Inference Methods for Quantile Regression Models

Hansen, Christian; Chernozhukov, Victor - Econometric Society - 2004

Finite-sample inference methods are developed for quantile regression models. The methods are conservative in that (i …

Persistent link: https://www.econbiz.de/10005063611