Most sample selection models assume that the errors are independent of the regressors. Under this assumption, all quantile and mean functions are parallel, which implies that quantile estimators cannot reveal any (per definition non-existing) heterogeneity. However, quantile estimators are...

A (conservative) test is constructed to investigate the optimal lag structure for forecasting realized volatility dynamics. The testing procedure relies on the recent theoretical results that show the ability of the adaptive least absolute shrinkage and selection operator (adaptive lasso) to...

This paper proposes bootstrap tests for the validity of instrumental variables (IV) in just identified treatment effect models with endogeneity. We demonstrate that the IV assumptions required for the identification of the local average treatment effect (LATE) allow us to both point identify and...

We derive new theoretical results on the properties of the adaptive least absolute shrinkage and selection operator (adaptive lasso) for time series regression models. In particular we investigate the question of how to conduct finite sample inference on the parameters given an adaptive lasso...

This paper presents statistical evidence about the validity of the sibling sex ratio instrument proposed by Angrist and Evans (1998), a prominent natural “natural experiment” in the sense of Rosenzweig and Wolpin (2000). The sex ratio of the first two siblings is arguably randomly assigned...

This papers proposes a simple method for testing whether non-compliance in experiments is ignorable, i.e., not jointly related to the treatment and the outcome. The approach consists of (i) regressing the outcome variable on a constant, the treatment, the assignment indicator, and the...

This paper proposes tests for instrument validity in sample selection models with non-randomly censored outcomes. Such models commonly invoke an exclusion restriction (i.e., the availability of an instrument affecting selection, but not the outcome) and additive separability of the errors in the...

The paper analyzes the impact of the initial observation on the problem of testing for unit roots. To this end, we derive a family of optimal tests that maximize a weighted average power criterion with respect to the initial observation. We then investigate the relationship of this optimal...

Tests for stationarity are routinely applied to highly persistent time series. Following Kwiatkowski, Phillips, Schmidt and Shin (1992), standard stationarity employs a rescaling by an estimator of the long-run variance of the (potentially) stationary series. This paper analytically investigates...

Consistency of propensity score matching estimators hinges on the propensity score's ability to balance the distributions of covariates in the pools of treated and nontreated units. Conventional balance tests merely check for differences in covariates' means, but cannot account for differences...