Search Results - subject:"weighted average power"

On optimal inference in the linear IV model

Andrews, Donald W. K.; Marmer, Vadim; Yu, Zhengfei - In: Quantitative Economics 10 (2019) 2, pp. 457-485

This paper considers tests and confidence sets (CSs) concerning the coefficient on the endogenous variable in the linear IV regression model with homoskedastic normal errors and one right-hand side endogenous variable. The paper derives a finite-sample lower bound function for the probability...

Persistent link: https://www.econbiz.de/10012215378

On optimal inference in the linear IV model

Andrews, Donald W. K.; Marmer, Vadim; Yu, Zhengfei - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 457-485

Persistent link: https://www.econbiz.de/10012042425

Efficient Estimation of the Parameter Path in Unstable Time Series Models

Mueller, Ulrich; Petalas, Philippe-Emmanuel - Volkswirtschaftliche Fakultät, … - 2007

. Parameter path estimators and tests of parameter constancy are evaluated by their weighted average risk and weighted average … power, respectively. The weight function is proportional to the distribution of a Gaussian process, and focusses on local …

Persistent link: https://www.econbiz.de/10005837069

Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model

Forchini, Giovanni - Department of Econometrics and Business Statistics, … - 2005

and Ploberger (Journal of Econometrics 70, 1996) and modifications thereof maximize a weighted average power which … approximation to evaluate weighted average power test statistics for which a simple closed form does not exist. We also show that a …

Persistent link: https://www.econbiz.de/10005149121

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

invariance condition. We determine tests that maximize weighted average power (WAP) for arbitrary weight functions among …

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

Tests for Unit Roots and the Initial Observation

Muller, Ulrich; Elliott, Graham - Department of Economics, University of California-San … - 2001

derive a family of optimal tests that maximize a weighted average power criterion with respect to the initial observation. We …

Persistent link: https://www.econbiz.de/10010536494