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Inference on sets in finance
Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - 2012
In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include, among others, the Hansen-Jagannathan (HJ) sets of admissible stochastic discount factors,...
Persistent link: https://www.econbiz.de/10009692023
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Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions
Fu, Jia-Young Michael; Horowitz, Joel; Parey, Matthias - 2015
This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental variables (IV) model whose structural function is identified through a conditional quantile restriction. Quantile regression models are increasingly important in applied econometrics. As with...
Persistent link: https://www.econbiz.de/10011350133
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Bootstrap methods in econometrics
Horowitz, Joel - 2018
The bootstrap is a method for estimating the distribution of an estimator or test statistic by resampling one's data or … a model estimated from the data. Under conditions that hold in a wide variety of econometric applications, the bootstrap … bootstrap provides a way to carry out inference in certain settings where obtaining analytic distributional approximations is …
Persistent link: https://www.econbiz.de/10011901480
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Permutation tests for equality of distributions of functional data
Bugni, Federico A.; Horowitz, Joel - 2018
Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called...
Persistent link: https://www.econbiz.de/10011804944
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Permutation tests for equality of distributions of functional data
Bugni, Federico A.; Horowitz, Joel - 2017
Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called...
Persistent link: https://www.econbiz.de/10011941827
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Permutation tests for equality of distributions of functional data
Bugni, Federico A.; Horowitz, Joel - 2021
Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called...
Persistent link: https://www.econbiz.de/10012436894
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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
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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
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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
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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