Search Results - subject:"robust inference"

Matching frictions, efficiency wages, and unemployment in the USA and the UK

Malcomson, James M.; Mavroeidis, Sophocles - 2007

This paper combines matching frictions with e¢ ciency wages to deter shirking in a model that is estimated for the USA and the UK to derive the underlying structural parameters. Methods robust to weak instruments are used to show that, for both countries, both matching frictions and efficiency...

Persistent link: https://www.econbiz.de/10010318955

Testing the new Keynesian Phillips curve without assuming identification

Mavroeidis, Sophocles - 2006

We re-examine the evidence on the new Phillips curve model of Gali and Gertler (Journal of Monetary Economics 1999) using the conditional score test of Kleibergen (Econometrica 2005), which is robust to weak identification. In contrast to earlier studies, we find that US postwar data are...

Persistent link: https://www.econbiz.de/10010318951

Robust Second Order Accurate Inference for Generalized Linear Models

Lo, Serigne N.; Ronchetti, Elvezio - Institut d'Economie et Econométrie, Université de Genève - 2006

In the framework of generalized linear models, the nonrobustness of classical estimators and tests for the parameters is a well known problem and alternative methods have been proposed in the literature. These methods are robust and can cope with deviations from the assumed distribution....

Persistent link: https://www.econbiz.de/10005811489

Robust second order accurate inference for generalized linear models

Lô, Serigne N. (contributor); … - 2006

selection even in moderate to small samples. Keywords: M-estimators, Monte Carlo, Robust inference, Robust variable selection … neighborhood of the model distribution and this leads to robust inference even in moderate to small samples. The new test statistic … directions. The computations are provided in the Appendix. 2 Classical and Robust Inference for Gener- alized Linear Models Let Y …

Persistent link: https://www.econbiz.de/10003335758

Robust Inferences from a Before-and-After Study with Multiple Unaffected Control Groups

Wang, Pengyuan; Traskin, Mikhail; Small, Dylan S. - In: Journal of Causal Inference 1 (2013) 2, pp. 209-234

Abstract The before-and-after study with multiple unaffected control groups is widely applied to study treatment effects. The current methods usually assume that the control groups’ differences between the before and after periods, i.e. the group time effects, follow a normal distribution....

Persistent link: https://www.econbiz.de/10014610790

Moment condition tests for heavy tailed time series

Hill, Jonathan B.; Aguilar, Mike - In: Journal of Econometrics 172 (2013) 2, pp. 255-274

We develop an asymptotically chi-squared statistic for testing moment conditions E[mt(θ0)]=0, where mt(θ0) may be weakly dependent, scalar components of mt(θ0) may have an infinite variance, and E[mt(θ)] need not exist for any θ under the alternative. Score tests are a natural application,...

Persistent link: https://www.econbiz.de/10011052264

New return anomalies and new-Keynesian ICAPM

Cho, Sungjun - In: International Review of Financial Analysis 29 (2013) C, pp. 87-106

I propose a new multi-factor asset pricing model with new-Keynesian factors to explain stock return anomalies from 1972Q1 to 2009Q2. This new model explains the average returns across testing portfolios formed on financial distress, momentum, and standardized unexpected earnings with...

Persistent link: https://www.econbiz.de/10010741743

New return anomalies and new-Keynesian ICAPM

Cho, Sungjun - In: International review of financial analysis 29 (2013), pp. 87-106

Persistent link: https://www.econbiz.de/10010244124

Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis

Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - Centre Interuniversitaire de Recherche en Analyse des … - 2005

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler's (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a...

Persistent link: https://www.econbiz.de/10005101039

A New Approach to Robust Inference in Cointegration

Jin, Sainan; Phillips, Peter C.B.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2005

A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference....

Persistent link: https://www.econbiz.de/10005593449