Showing 1 - 10 of 249
We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables. We treat models in which Y is censored from above or below or potentially from both. The basic idea...
Persistent link: https://www.econbiz.de/10005463961
We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables, and X is independent of the unobservables. We treat models in which Y is censored from above,...
Persistent link: https://www.econbiz.de/10009003657
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
This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors, confidence intervals, and tests. For each of these problems, the paper provides a three-step method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the...
Persistent link: https://www.econbiz.de/10004990816
This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process {p_t} that is observed only at a subset of times {t_1,...,t_n} that depend on the outcome...
Persistent link: https://www.econbiz.de/10005093945
A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical...
Persistent link: https://www.econbiz.de/10005087362
We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We show that the resulting test is consistent. We allow for...
Persistent link: https://www.econbiz.de/10005593569
We propose a nonparametric test of conditional independence based on the empirical distribution function. The asymptotic null distribution is a mixture of chi-squares. A bootstrap procedure is proposed for calculating the critical values. Our test has power against alternatives at distance...
Persistent link: https://www.econbiz.de/10005762468
Expansion and collapse are two key features of a financial asset bubble. Bubble expansion may be modeled using a mildly explosive process. Bubble implosion may take several different forms depending on the nature of the collapse and therefore requires some flexibility in modeling. This paper...
Persistent link: https://www.econbiz.de/10011096432
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