Search Results - subject:"Optimal tests"

Parametrically and semiparametrically efficient detection of random regression coefficients

Fihri, Mohamed; Akharif, Abdelhadi; Mellouk, Amal; … - 2017

Persistent link: https://www.econbiz.de/10011673784

Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors

Moreira, Humberto; Moreira, Marcelo J. - In: Journal of econometrics 213 (2019) 2, pp. 398-433

Persistent link: https://www.econbiz.de/10012304565

A new class of distribution-free tests for time series models specification

Delgado, Miguel A.; Velasco, Carlos - Departamento de Economía, Universidad Carlos III de Madrid - 2009

The construction of asymptotically distribution free time series model specification tests using as statistics the estimated residual autocorrelations is considered from a general view point. We focus our attention on Box-Pierce type tests based on the sum of squares of a few estimated residual...

Persistent link: https://www.econbiz.de/10005249678

Tests based on t-statistics for IV regression with weak instruments

Mills, Benjamin; Moreira, Marcelo J.; Vilela, Lucas P. - In: Journal of econometrics 182 (2014) 2, pp. 351-363

Persistent link: https://www.econbiz.de/10010497752

Testing for spatial autocorrelation: the regressors that make the power disappear

Martellosio, Federico - Volkswirtschaftliche Fakultät, … - 2008

We show that for any sample size, any size of the test, and any weights matrix outside a small class of exceptions, there exists a positive measure set of regression spaces such that the power of the Cliff-Ord test vanishes as the autocorrelation increases in a spatial error model. This result...

Persistent link: https://www.econbiz.de/10005620071

Bootstrap point optimal unit root tests

Wang, Liqiong - In: Journal of time series econometrics 6 (2014) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10010225261

Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression

Martellosio, Federico - Volkswirtschaftliche Fakultät, … - 2008

This paper derives some exact power properties of tests for spatial autocorrelation in the context of a linear regression model. In particular, we characterize the circumstances in which the power vanishes as the autocorrelation increases, thus extending the work of Krämer (2005, Journal of...

Persistent link: https://www.econbiz.de/10005789697

Tests based on t-statistics for IV regression with weak instruments

Mills, Benjamin; Moreira, Marcelo J.; Vilela, Lucas P. - In: Journal of Econometrics 182 (2014) 2, pp. 351-363

This paper considers tests of the parameter of an endogenous variable in an instrumental variables regression model. The focus is on one-sided conditional t-tests. Theoretical and numerical work shows that the conditional 2SLS and Fuller t-tests perform well even when instruments are weakly...

Persistent link: https://www.econbiz.de/10011052301

Improving Size and Power in Unit Root Testing

Haldrup, Niels; Jansson, Michael - School of Economics and Management, University of Aarhus - 2005

of covariates. JELCoscdscescssc: C12, C22 Kescysc Woscrscdscssc: Unit roots, optimal tests, power envelope. 1 … of point optimal tests and is therefore admissible [Stock (1994)]. Power envelopes have been derived for a variety of … efficient” invariant unit root tests contains tests other than the point optimal tests obtained in the derivation of the …

Persistent link: https://www.econbiz.de/10010851181

Optimal Invariant Similar Tests for Instrumental Variables Regression

Andrews, Donald W.K.; Moreira, Marcelo J.; Stock, James H. - Cowles Foundation for Research in Economics, Yale University - 2004

This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have some optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We...

Persistent link: https://www.econbiz.de/10005593255