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Empirical likelihood for regression discontinuity design

Otsu, Taisuke; Xu, Ke-Li; Matsushita, Yukitoshi - In: Journal of Econometrics 186 (2015) 1, pp. 94-112

This paper proposes empirical likelihood based inference methods for causal effects identified from regression discontinuity designs. We consider both the sharp and fuzzy regression discontinuity designs and treat the regression functions as nonparametric. The proposed inference procedures do...

Persistent link: https://www.econbiz.de/10011209288

Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity

Andrews, Donald W.K.; Guggenberger, Patrik - In: Journal of Econometrics 169 (2012) 2, pp. 196-210

We consider a first-order autoregressive model with conditionally heteroskedastic innovations. The asymptotic distributions of least squares (LS), infeasible generalized least squares (GLS), and feasible GLS estimators and t statistics are determined. The GLS procedures allow for...

Persistent link: https://www.econbiz.de/10011052323

On the least squares estimation of multiple-regime threshold autoregressive models

Li, Dong; Ling, Shiqing - In: Journal of Econometrics 167 (2012) 1, pp. 240-253

This paper studies the least squares estimator (LSE) of the multiple-regime threshold autoregressive (TAR) model and establishes its asymptotic theory. It is shown that the LSE is strongly consistent. When the autoregressive function is discontinuous over each threshold, the estimated thresholds...

Persistent link: https://www.econbiz.de/10010577520

The estimation of misspecified long memory models

Robinson, Peter M. - In: Journal of Econometrics 178 (2014) P2, pp. 225-230

We consider time series that, possibly after integer differencing or integrating or other detrending, are covariance stationary with spectral density that is regularly varying near zero frequency, and unspecified elsewhere. This semiparametric framework includes series with short, long and...

Persistent link: https://www.econbiz.de/10010730146

Testing conditional independence via empirical likelihood

Su, Liangjun; White, Halbert - In: Journal of Econometrics 182 (2014) 1, pp. 27-44

We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother...

Persistent link: https://www.econbiz.de/10010785278

Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations

Hou, Jie; Perron, Pierre - In: Journal of Econometrics 182 (2014) 2, pp. 309-328

We propose a modified local-Whittle estimator of the memory parameter of a long memory time series process which has good properties under an almost complete collection of contamination processes that have been discussed in the literature, mostly separately. These contaminations include...

Persistent link: https://www.econbiz.de/10010906797

Testing cointegration relationship in a semiparametric varying coefficient model

Gu, Jingping; Liang, Zhongwen - In: Journal of Econometrics 178 (2014) P1, pp. 57-70

In this paper, we develop two cointegration tests for two varying coefficient cointegration regression models … hypothesis of cointegration and show that they are consistent against the alternative hypotheses. We also propose a wild … existing results from linear cointegration tests, our varying coefficient cointegration test does not reject that PPP holds …

Persistent link: https://www.econbiz.de/10011052207

Theory-coherent forecasting

Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of Econometrics 182 (2014) 1, pp. 145-155

We consider a method for producing multivariate density forecasts that satisfy moment restrictions implied by economic theory, such as Euler conditions. The method starts from a base forecast that might not satisfy the theoretical restrictions and forces it to satisfy the moment conditions using...

Persistent link: https://www.econbiz.de/10011052219

Testing for non-nested conditional moment restrictions using unconditional empirical likelihood

Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae - In: Journal of Econometrics 167 (2012) 2, pp. 370-382

We propose non-nested hypothesis tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...

Persistent link: https://www.econbiz.de/10011052221

The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions

Ai, Chunrong; Chen, Xiaohong - In: Journal of Econometrics 170 (2012) 2, pp. 442-457

This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. Our results extend those of Chamberlain (1992b) and Ai and Chen (2003) for semiparametric conditional moment...

Persistent link: https://www.econbiz.de/10011052247