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The asymptotic local powers of various panel unit root tests are investigated. The power envelope is obtained under homogeneous and heterogeneous alternatives. It is compared with asymptotic power functions of the pooled t-test, the Ploberger-Phillips (2002) test, and a point optimal test in...
Persistent link: https://www.econbiz.de/10005463889
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities...
Persistent link: https://www.econbiz.de/10010817218
the null hypothesis and a sequence of Pitman local alternatives. We prove test consistency and propose a bootstrap …
Persistent link: https://www.econbiz.de/10009358886
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank...
Persistent link: https://www.econbiz.de/10009001017
This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors … desired level of accuracy. Accuracy is measured by the percentage deviation of the bootstrap standard error estimate …, confidence interval endpoint(s), test's critical value, or test's p-value based on B bootstrap simulations from the corresponding …
Persistent link: https://www.econbiz.de/10004990816
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/10005011842
than the confidence regions that can be constructed from the smoothed bootstrap method recently suggested by Horowitz (1998). …
Persistent link: https://www.econbiz.de/10005593469
and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We …
Persistent link: https://www.econbiz.de/10005593569
have power against 1/{root n}-local alternatives and all fixed alternatives to the null hypothesis. A parametric bootstrap …
Persistent link: https://www.econbiz.de/10005634736
methods (i.e., the asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare these methods …
Persistent link: https://www.econbiz.de/10009209702