Showing 1 - 10 of 604
In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a uni ed framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and...
Persistent link: https://www.econbiz.de/10010254852
We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...
Persistent link: https://www.econbiz.de/10010197046
We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...
Persistent link: https://www.econbiz.de/10009548244
Persistent link: https://www.econbiz.de/10003410811
This paper provides a test for completeness in a class of nonparametric specification with an additive and independent error term. It is known that such a nonparametric location family of functions is complete if and only if the characteristic function of the error term has no zeros on the real...
Persistent link: https://www.econbiz.de/10012589473
In the regression discontinuity design (RDD), it is common practice to assess the credibility of the design by testing the continuity of the density of the running variable at the cut-off, e.g., McCrary (2008). In this paper we propose a new test for continuity of a density at a point based on...
Persistent link: https://www.econbiz.de/10011809514
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
We propose a simple model selection test for choosing among two parametric likelihoods which can be applied in the most general setting without any assumptions on the relation between the candidate models and the true distribution. That is, both, one or neither is allowed to be correctly...
Persistent link: https://www.econbiz.de/10011517190
Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...
Persistent link: https://www.econbiz.de/10015149596
The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...
Persistent link: https://www.econbiz.de/10009554364