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Unit roots : identification and testing in micro panels

Bond, Stephen (contributor); Nauges, Céline (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002996750

Additive nonparametric models with time variable and both stationary and nonstationary regressions

Dong, Chaohua; Linton, Oliver - 2017

This paper considers nonparametric additive models that have a deterministic time trend and both stationary and integrated variables as components. The diverse nature of the regressors caters for applications in a variety of settings. In addition, we extend the analysis to allow the stationary...

Persistent link: https://www.econbiz.de/10011775349

Testing for a general class of functional inequalities

Lee, Sokbae; Song, Kyungchul; Whang, Yoon-jae - 2014

functionals of kernel-type estimators (1 < p < ∞) and is easy to implement in general, mainly due to its recourse to the 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 a large …

Persistent link: https://www.econbiz.de/10010254852

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - 2013

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

Persistent link: https://www.econbiz.de/10009761386

A bootstrap test for instrument validity in heterogeneous treatment effect models

Kitagawa, Toru - 2013

bootstrap algorithm to implement the proposed test and show its asymptotic validity. The proposed test procedure can apply to …

Persistent link: https://www.econbiz.de/10010190476

A test for instrument validity

Kitagawa, Toru - 2014 - This draft: August, 2014

This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point-identifiable complier's...

Persistent link: https://www.econbiz.de/10010392075

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - 2012

(g) can be carried out by using by using the bootstrap. An empirical application illustrates the usefulness of shape …

Persistent link: https://www.econbiz.de/10009554348

Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors

Moreira, Humberto; Moreira, Marcelo J. - 2016 - This version: June 10, 2016

This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We...

Persistent link: https://www.econbiz.de/10011485564

A critical value function approach, with an application to persistent time-series

Moreira, Marcelo J.; Mourão, Rafael; Moreira, Humberto - 2016

Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis...

Persistent link: https://www.econbiz.de/10011485576

A discrete model for bootstrap iteration

Davidson, Russell - 2015

In an attempt to free bootstrap theory from the shackles of asymptotic considerations, this paper studies the … possibility of justifying, or validating, the bootstrap, not by letting the sample size tend to infinity, but by considering the … sequence of bootstrap P values obtained by iterating the bootstrap. The main idea of the paper is that, if this sequence …

Persistent link: https://www.econbiz.de/10011295590