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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

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

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

Inference for functions of partially identified parameters in moment inequality models

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014

This paper introduces a new hypothesis test for the null hypothesis H0 : f(Ø) = Y0, where f(.) is a known function, Y0 is a known constant, and Ø is a parameter that is partially identified by a moment (in)equality model. The main application of our test is sub-vector inference in moment...

Persistent link: https://www.econbiz.de/10010234017

Specification tests for partially identified models defined by moment inequalities

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2013

This paper studies the problem of specification testing in partially identified 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/10009692018

Inference for functions of partially identified parameters in moment inequality models

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014 - Ver. 10.2: May 4, 2014

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in …

Persistent link: https://www.econbiz.de/10010348998

Inference for functions of partially identified parameters in moment inequality models

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2015

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in …

Persistent link: https://www.econbiz.de/10011326079

Specification tests for partially identified models defined by moment inequalities

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014 - Ver. 6.0: April 4, 2014

This paper studies the problem of specification testing in partially identified 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/10010340367