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A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2011
This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...
Persistent link: https://www.econbiz.de/10011184579
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A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2011
This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...
Persistent link: https://www.econbiz.de/10009209704
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Threshold Regression with Endogeneity
Yu, Ping; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014
This paper studies estimation and specification testing in threshold regression with endogeneity. Three key results … endogeneity and threshold effects without relying on instrumentation of the covariates. The threshold effect test extends … models in treatment effects evaluation in the presence of endogeneity. …
Persistent link: https://www.econbiz.de/10011096433
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Inconsistent VAR Regression with Common Explosive Roots
Phillips, Peter C.B.; Magdalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 2011
Nielsen (2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a co-explosive system extension and an illustrative example that helps to explain the finding, gives a...
Persistent link: https://www.econbiz.de/10008790282
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Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection
Andrews, Donald W.K.; Soares, Gustavo - Cowles Foundation for Research in Economics, Yale University - 2007
The topic of this paper is inference in models in which parameters are defined by moment inequalities and/or equalities. The parameters may or may not be identified. This paper introduces a new class of confidence sets and tests based on generalized moment selection (GMS). GMS procedures are...
Persistent link: https://www.econbiz.de/10005464003
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Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes
Andrews, Donald W.K.; Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2002
This paper determines coverage probability errors of both delta method and parametric bootstrap confidence intervals (CIs) for the covariance parameters of stationary long-memory Gaussian time series. CIs for the long-memory parameter d_0 are included. The results establish that the bootstrap...
Persistent link: https://www.econbiz.de/10005464054
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Conditional Independence Restrictions: Testing and Estimation
Linton, Oliver; Gozalo, Pedro - Cowles Foundation for Research in Economics, Yale University - 1996
We propose a nonparametric empirical distribution function based test of an hypothesis of conditional independence between variables of interest. This hypothesis is of interest both for model specification purposes, parametric and semiparametric, and for non-model based testing of economic...
Persistent link: https://www.econbiz.de/10005464056
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GMM Estimation and Uniform Subvector Inference with Possible Identification Failure
Andrews, Donald W.K.; Cheng, Xu - Cowles Foundation for Research in Economics, Yale University - 2011
nonlinear regression model with endogeneity and a probit model with endogeneity and possibly weak instrumental variables. …
Persistent link: https://www.econbiz.de/10010817230
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Nonparametric Inference Based on Conditional Moment Inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - Cowles Foundation for Research in Economics, Yale University - 2011
This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...
Persistent link: https://www.econbiz.de/10010895658
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Nonparametric Inference Based on Conditional Moment Inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - Cowles Foundation for Research in Economics, Yale University - 2011
This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...
Persistent link: https://www.econbiz.de/10010895670