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A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models

Liao, Zhipeng; Shi, Xiaoxia - In: Quantitative economics : QE ; journal of the … 11 (2020) 3, pp. 983-1017

This paper proposes a new model selection test for the statistical comparison of semi/non-parametric models based on a general quasi-likelihood ratio criterion. An important feature of the new test is its uniformly exact asymptotic size in the overlapping nonnested case, as well as in the easier...

Persistent link: https://www.econbiz.de/10012315790

An entropy-based approach for nonparametrically testing simple probability distribution hypotheses

Mittelhammer, Ron C.; Judge, George G.; Henry, Miguel - In: Econometrics : open access journal 10 (2022) 1, pp. 1-19

In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be used to assess the validity of simple hypotheses about a specific parametric population distribution. The testing methodology relies on the characteristic function of the...

Persistent link: https://www.econbiz.de/10012805047

Identification‐ and singularity‐robust inference for moment condition models

Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1703-1746

This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment condition models. Both tests are very fast to...

Persistent link: https://www.econbiz.de/10012202897

Testing firm conduct

Duarte, Marco; Magnolfi, Lorenzo; Sølvsten, Mikkel; … - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 571-606

Evaluating policy in imperfectly competitive markets requires understanding firm behavior. While researchers test conduct via model selection and assessment, we present the advantages of Rivers and Vuong (2002) (RV) model selection under misspecification. However, degeneracy of RV invalidates...

Persistent link: https://www.econbiz.de/10015053180

Double robust inference for continuous updating GMM

Kleibergen, Frank; Zhan, Zhaoguo - In: Quantitative economics : QE ; journal of the … 16 (2025) 1, pp. 295-327

We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification,...

Persistent link: https://www.econbiz.de/10015190343

Locally robust inference for non-Gaussian SVAR models

Hoesch, Lukas; Lee, Adam; Mesters, Geert - In: Quantitative economics : QE ; journal of the … 15 (2024) 2, pp. 523-570

All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non-Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct...

Persistent link: https://www.econbiz.de/10015053146

Inference using simulated neural moments

Creel, Michael D. - In: Econometrics : open access journal 9 (2021) 4, pp. 1-15

, specifically Markov chain Monte Carlo (MCMC). Motivation and theory for the methods is provided by Chernozhukov and Hong (2003 …

Persistent link: https://www.econbiz.de/10012642418

Fixed-k inference for volatility

Bollerslev, Tim; Li, Jia; Liao, Zhipeng - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1053-1084

We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale … in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility … estimator is no longer consistent, the new theory permits the construction of asymptotically valid and easy …

Persistent link: https://www.econbiz.de/10012795628

Inference in predictive regression models with persistent regressors

Hillmann, Benjamin - 2021

Persistent link: https://www.econbiz.de/10015201213

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2023

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...

Persistent link: https://www.econbiz.de/10014343097