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Testing for a general class of functional inequalities

Sokbae 'Simon' Lee; Song, Kyungchul; Whang, Yoon-Jae - Centre for Microdata Methods and Practice (CEMMAP) - 2014

bootstrap method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with … estimated "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over …. Our bootstrap test is shown to exhibit good power properties in Monte Carlo experiments, and we provide a general form of …

Persistent link: https://www.econbiz.de/10011094570

Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities

Rosen, Adam - Centre for Microdata Methods and Practice (CEMMAP) - 2006

This paper proposes a new way to construct confidence sets for a parameter of interest in models comprised of finitely many moment inequalities. Building on results from the literature on multivariate one-sided tests, I show how to test the hypothesis that any particular parameter value is...

Persistent link: https://www.econbiz.de/10005509548

Specification for Partially Identified Models defined by Moment Inequalities

Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - Centre for Microdata Methods and Practice (CEMMAP) - 2013

This paper studies the problem of specification testing in partially indentified models defined by a finite number of moment equalities and inequalities (i.e., (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...

Persistent link: https://www.econbiz.de/10010827552

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - Centre for Microdata Methods and Practice (CEMMAP) - 2013

using the bootstrap. An empirical application illustrates the usefulness of shape restrictions for carrying out …

Persistent link: https://www.econbiz.de/10010827553

Welfare measurement and measurement error

Chesher, Andrew; Schluter, Christian - Centre for Microdata Methods and Practice (CEMMAP) - 2001

The approximate effects of measurement error on a variety of measures of inequality and poverty are derived. They are shown to depend on the measurement error variance and functionals of the error contaminated income distribution, but not on the form of the measurement error distribution, and to...

Persistent link: https://www.econbiz.de/10005727680

Averaging of moment condition estimators

Chen, Xiaohong; Jacho-Chavez, David T.; Linton, Oliver - Centre for Microdata Methods and Practice (CEMMAP) - 2012

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of v n- consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...

Persistent link: https://www.econbiz.de/10010575249

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

Persistent link: https://www.econbiz.de/10005811463

Local GEL methods for conditional moment restrictions

Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005

The principal purpose of this paper is to adapt to the conditional moment context the GEL unconditional moment methods described in Smith(1997, 2001) and Newey and Smith(2004). In particular we develop GEL estimators which achieve the semiparametric efficiency lower bound. The requisite GEL...

Persistent link: https://www.econbiz.de/10005727678

Instrumental variable estimation with heteroskedasticity and many instruments

Hausman, Jerry; Newey, Whitney; Woutersen, Tiemen; … - Centre for Microdata Methods and Practice (CEMMAP) - 2007

It is common practice in econometrics to correct for heteroskedasticity.This paper corrects instrumental variables estimators with many instruments for heteroskedasticity.We give heteroskedasticity robust versions of the limited information maximum likelihood (LIML) and Fuller (1977, FULL)...

Persistent link: https://www.econbiz.de/10005727684

Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary

Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Centre for Microdata Methods and Practice (CEMMAP) - 2008

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap … simulation results show that our tests are indeed more powerful than the existing subsampling and recentered bootstrap. …

Persistent link: https://www.econbiz.de/10005727692