Search Results - subject:"Point-optimal test"

Distributions you can count on ... but what’s the point?

McCabe, Brendan Peter Martin; Skeels, Christopher L. - In: Econometrics : open access journal 8 (2020) 1/9, pp. 1-36

family, and conclude that it is possible to choose a point optimal test which is better in the intercept only case, although …

Persistent link: https://www.econbiz.de/10012265393

Distributions you can count on …but what's the point?

McCabe, Brendan Peter Martin; Skeels, Christopher L. - In: Econometrics 8 (2020) 1, pp. 1-36

family, and conclude that it is possible to choose a point optimal test which is better in the intercept only case, although …

Persistent link: https://www.econbiz.de/10012696272

Point-optimal panel unit root tests with serially correlated errors

Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B. - In: The econometrics journal 17 (2014) 3, pp. 338-372

Persistent link: https://www.econbiz.de/10010498715

Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms

Dufour, Jean-Marie; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008

In this paper, we derive simple point-optimal sign-based tests in the context of linear and nonlinear regression models with fixed regressors. These tests are exact, distribution-free, robust against heteroskedasticity of unknown form, and they may be inverted to obtain confidence regions for...

Persistent link: https://www.econbiz.de/10005111017

Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data

Kurozumi, Eiji; Yamazaki, Daisuke; Hadri, Kaddour - Institute of Economic Research, Hitotsubashi University - 2012

This paper proposes the use of covariate unit root tests and the exploitation of the information on the cross-sectional dependence when the panel data null hypothesis of a unit root is rejected or when N is relatively small in order to help the interpretation of the test results. In particular,...

Persistent link: https://www.econbiz.de/10010614078

Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors : a point optimal testing approach

Sriananthakumar, Sivagowry - In: Economic modelling 33 (2013), pp. 126-136

Persistent link: https://www.econbiz.de/10010192022

GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity

Han, Chirok; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2007

This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and incidental trends. A simple consistent GMM estimation method is proposed that avoids the weak moment condition problem that is known to affect conventional GMM estimation when the...

Persistent link: https://www.econbiz.de/10005762655

Test for the null hypothesis of cointegration with reduced size distortion

Kurozumi, Eiji; Arai, Yoichi - Institute of Economic Research, Hitotsubashi University - 2006

: Cointegration; locally best test; point optimal test 1The earlier version of this paper was written while Eiji Kurozumi was a … size. In order to do so, we rst develop the point optimal test that is invariant to some location-scale transformation of …, we specify the value of or in order to implement our feasible point optimal test. We follow Elliott et al. (1996) and …

Persistent link: https://www.econbiz.de/10005675491

Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors: A point optimal testing approach

Sriananthakumar, Sivagowry - In: Economic Modelling 33 (2013) C, pp. 126-136

We know very little about the performance of point optimal (PO) and approximate point optimal (APO) tests in the presence of unavoidable nuisance parameters. Because marginal likelihood based tests are said to perform well in the presence of unavoidable nuisance parameters, this paper compares...

Persistent link: https://www.econbiz.de/10010737998

Point Optimal Test for Cointegration with Unknown Variance-Covariance Matrix

Kurozumi, Eiji; Arai, Yoichi - Graduate School of Economics, Hitotsubashi University - 2005

, which is a point optimal test among a class of location invariant tests. On the other hand, our LBIU test is shown to have a …

Persistent link: https://www.econbiz.de/10004992477