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Transition Modeling and Econometric Convergence Tests

Phillips, Peter C. B. - 2007

A new panel data model is proposed to represent the behavior of economies in transition allowing for a wide range of … formulated as a nonlinear time varying factor model. When applied to a micro panel, the decomposition provides flexibility in … idiosyncratic behavior over time and across section, while retaining some commonality across the panel by means of an unknown common …

Persistent link: https://www.econbiz.de/10012778068

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

A Simple Test for Identification in GMM Under Conditional Moment Restrictions

Bravo, Francesco; Escanciano, Juan Carlos; Otsu, Taisuke - 2011

This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global identification...

Persistent link: https://www.econbiz.de/10014184251

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

The Impact of a Hausman Pretest on the Size of Hypothesis Tests

Guggenberger, Patrik - 2008

This paper investigates the size properties of a two-stage test in the linear instrumental variables model when in the first stage a Hausman (1978) specification test is used as a pretest of exogeneity of a regressor. In the second stage, a simple hypothesis about a component of the structural...

Persistent link: https://www.econbiz.de/10014218566

Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors

Cho, Jin Seo; Phillips, Peter C. B. - 2016

We provide a methodology for testing a polynomial model hypothesis by extending the approach and results of Baek, Cho, and Phillips (2015; Journal of Econometrics; BCP) that tests for neglected nonlinearity using power transforms of regressors against arbitrary nonlinearity. We examine and...

Persistent link: https://www.econbiz.de/10014123918

Causal Change Detection in Possibly Integrated Systems : Revisiting the Money-Income Relationship

Shi, Shuping; Hurn, Stan; Phillips, Peter C. B. - 2016

This paper re-examines changes in the causal link between money and income in the United States for over the past half century (1959-2014). Three methods for the data-driven discovery of change points in causal relationships are proposed, all of which can be implemented without prior detrending...

Persistent link: https://www.econbiz.de/10014123919

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

Rank Tests for Instrumental Variables Regression with Weak Instruments

Andrews, Donald W. K.; Soares, Gustavo - 2006

This paper considers tests in an instrumental variables (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and strong IVs have been determined in Andrews, Moreira, and Stock (2006a). In this paper, we seek...

Persistent link: https://www.econbiz.de/10014059052

A Note on Optimal Inference in the Linear IV Model

Andrews, Donald W. K. - 2017

This paper considers tests and confidence sets (CS s) concerning the coefficient on the endogenous variable in the linear IV regression model with homoskedastic normal errors and one right-hand side endogenous variable. The paper derives a finite-sample lower bound function for the probability...

Persistent link: https://www.econbiz.de/10012963881