Search Results - subject:"KVB"

Testing over : identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-ming; Kuan, Chung-ming; Hsu, Yu-Chin - 2014

Persistent link: https://www.econbiz.de/10010246721

Robust hypothesis tests for m-estimators with possibly non-differentiable estimating functions

Lee, Wei-ming; Hsu, Yu-Chin; Kuan, Chung-ming - 2014

Persistent link: https://www.econbiz.de/10010355209

Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix

Lee, Wei-Ming; Kuan, Chung-Ming; Hsu, Yu-Chin - Institute of Economics, Academia Sinica - 2014

This paper extends Kiefer, Vogelsang, and Bunzel (2000) and Kiefer and Vogelsang (2002b) to propose a class of over-identifying restrictions (OIR) tests that are robust to heteroskedasticity and serial correlations of unknown form. These OIR tests do not require consistent estimation of the...

Persistent link: https://www.econbiz.de/10010739165

Robust Hypothesis Tests for M-Estimators with Possibly Non-differentiable Estimating Functions

Lee, Wei-Ming; Hsu, Yu-Chin; Kuan, Chung-Ming - Institute of Economics, Academia Sinica - 2014

parameters, in contrast with the conventional heteroskedasticity autocorrelation consistent (HAC)-type test and the KVB-type test … of Kiefer, Vogelsang, and Bunzel (2000). Our test reduces to the KVB-type test in simple location models with OLS … better size control and better finite sample power than the HAC-type and KVB-type tests. …

Persistent link: https://www.econbiz.de/10011277957

Geschäftsbericht / KVB, Kölner Verkehrsbetriebe Aktiengesellschaft

Kölner Verkehrs-Betriebe - Köln : KVB - 1928(1929) - 1938(1939); 1960(1961) - 2012(2013)

Persistent link: https://www.econbiz.de/10000362806

Robust hypothesis tests for M-estimators with possibly non-differentiable estimating functions

Lee, Wei-Ming; Hsu, Yu-Chin; Kuan, Chung-ming - In: The econometrics journal 18 (2015) 1, pp. 95-116

Persistent link: https://www.econbiz.de/10011345990

Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-Ming; Kuan, Chung-ming; Hsu, Yu-Chin - In: Journal of econometrics 181 (2014) 2, pp. 181-193

Persistent link: https://www.econbiz.de/10010473309

Robust thresholding for Diffusion Index forecast

Le, Vu; Wang, Qing - In: Economics letters 125 (2014) 1, pp. 52-56

Persistent link: https://www.econbiz.de/10010504772

Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-Ming; Kuan, Chung-Ming; Hsu, Yu-Chin - In: Journal of Econometrics 181 (2014) 2, pp. 181-193

We propose new over-identifying restriction (OIR) tests that are robust to heteroskedasticity and serial correlations of unknown form. The proposed tests do not require consistent estimation of the asymptotic covariance matrix and hence avoid choosing the bandwidth in nonparametric kernel...

Persistent link: https://www.econbiz.de/10010785290

Robust thresholding for Diffusion Index forecast

Le, Vu; Wang, Qing - In: Economics Letters 125 (2014) 1, pp. 52-56

, 2002b) using hard thresholding with robust KVB statistic for regression hypothesis tests (Kiefer et al., 2000). The new …

Persistent link: https://www.econbiz.de/10010939485