Showing 1 - 10 of 155
We consider the problem of detecting unobserved heterogeneity, that is, the problem of testing the absence of random …
Persistent link: https://www.econbiz.de/10011052340
We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel data model. We show that the test has a limiting standard normal distribution under the null hypothesis, and show that the test is a consistent test. We also establish the...
Persistent link: https://www.econbiz.de/10010730130
This paper studies the identifying power of conditional quantile restrictions in short panels with fixed effects. In contrast to classical fixed effects models with conditional mean restrictions, conditional quantile restrictions are not preserved by taking differences in the regression equation...
Persistent link: https://www.econbiz.de/10010597565
This paper studies panel quantile regression models with individual fixed effects. We formally establish sufficient conditions for consistency and asymptotic normality of the quantile regression estimator when the number of individuals, n, and the number of time periods, T, jointly go to...
Persistent link: https://www.econbiz.de/10010664692
This paper is concerned with the use of the bootstrap for statistics in spatial econometric models, with a focus on the test statistic for Moran’s I test for spatial dependence. We show that, for many statistics in spatial econometric models, the bootstrap can be studied based on...
Persistent link: https://www.econbiz.de/10011117413
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
To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which...
Persistent link: https://www.econbiz.de/10011190729
We propose inverse probability weighted estimators for the distribution functions of the potential outcomes under the unconfoundedness assumption and apply the inverse mapping to obtain the quantile functions. We show that these estimators converge weakly to zero mean Gaussian processes. A...
Persistent link: https://www.econbiz.de/10010730121
We investigate the behavior of various standard and modified F, likelihood ratio (LR), and Lagrange multiplier (LM) tests in linear homoskedastic regressions, adapting an alternative asymptotic framework in which the number of regressors and possibly restrictions grows proportionately to the...
Persistent link: https://www.econbiz.de/10011052224
We propose semiparametric GMM estimation of semiparametric spatial autoregressive (SAR) models under weak moment conditions. In comparison with the quasi-maximum-likelihood-based semiparametric estimator of Su and Jin (2010), we allow for both heteroscedasticity and spatial dependence in the...
Persistent link: https://www.econbiz.de/10011052236