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Second-Order Refinement of Empirical Likelihood for Testing Overidentifying Restrictions

Matsushita, Yukitoshi; Otsu, Taisuke - 2012

This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. We show that the empirical likelihood test is Bartlett correctable and suggest second-order refinement methods for the test based on the...

Persistent link: https://www.econbiz.de/10014183992

Nonparametric Tests of Conditional Treatment Effects

Lee, Sokbae; Whang, Yoon-jae - 2009

We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment...

Persistent link: https://www.econbiz.de/10014201084

Nonparametric Estimation of a Polarization Measure

Anderson, Gordon; Linton, Oliver; Whang, Yoon-jae - 2009

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...

Persistent link: https://www.econbiz.de/10014206206

An Improved Bootstrap Test of Stochastic Dominance

Linton, Oliver; Song, Kyungchul; Whang, Yoon-jae - 2009

We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap … the variables are allowed to be residuals from nonparametric and semiparametric models. The proposed bootstrap tests have … in general. The improvement stems from the design of the bootstrap test whose limiting behavior mimics the discontinuity …

Persistent link: https://www.econbiz.de/10014206207

On the Choice of Test Statistic for Conditional Moment Inequalities

Armstrong, Timothy - 2014

This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for conditional moment inequality models in the set identified case. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting...

Persistent link: https://www.econbiz.de/10014141408

On the Choice of Test Statistic for Conditional Moment Inequalities

Armstrong, Timothy - 2017

This paper derives asymptotic approximations to the power of Cramer-von Mises (CvM) style tests for inference on a finite dimensional parameter defined by conditional moment inequalities in the case where the parameter is set identified. Combined with power results for Kolmogorov-Smirnov (KS)...

Persistent link: https://www.econbiz.de/10012952630

Optimal Inference in a Class of Regression Models

Armstrong, Timothy - 2017

We consider the problem of constructing confidence intervals (CIs) for a linear functional of a regression function, such as its value at a point, the regression discontinuity parameter, or a regression coefficient in a linear or partly linear regression. Our main assumption is that the...

Persistent link: https://www.econbiz.de/10012952736

Adaptive Testing on a Regression Function at a Point

Armstrong, Timothy - 2015

We consider the problem of inference on a regression function at a point when the entire function satisfies a sign or shape restriction under the null. We propose a test that achieves the optimal minimax rate adaptively over a range of Holder classes, up to a log log n term, which we show to be...

Persistent link: https://www.econbiz.de/10013027427

Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators Under Weak Dependence and Weak Conditions

Chen, Xiaohong - 2015

We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e., sup-norm) convergence rate (n/log n)^{-p/(2p d)} of Stone (1982), where d is the number of regressors and p is the smoothness of the regression function. The optimal...

Persistent link: https://www.econbiz.de/10013031337

A Note on Minimax Testing and Confidence Intervals in Moment Inequality Models

Armstrong, Timothy - 2014

This note uses a simple example to show how moment inequality models used in the empirical economics literature lead to general minimax relative efficiency comparisons. The main point is that such models involve inference on a low dimensional parameter, which leads naturally to a definition of...

Persistent link: https://www.econbiz.de/10013039986