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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - 2012
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-squares methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10015233358
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On bootstrap validity for specification tests with weak instruments
Doko Tchatoka, Firmin - 2013
This paper investigates the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) specification tests when instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better approximation than the usual asymptotic chi-square...
Persistent link: https://www.econbiz.de/10015237364
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On bootstrap validity for specification tests with weak instruments
Doko Tchatoka, Firmin - 2013
This paper investigates the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) specification tests when instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better approximation than the usual asymptotic chi-square...
Persistent link: https://www.econbiz.de/10015237400
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Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate
Pincheira, Pablo; Jarsun, Nabil - 2020
This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...
Persistent link: https://www.econbiz.de/10015229382
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Forecasting Aluminum Prices with Commodity Currencies
Pincheira, Pablo; Hardy, Nicolás - 2019
In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...
Persistent link: https://www.econbiz.de/10015265738
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Normal versus Noncentral Chi-square Asymptotics of Misspecified Models
Chun, So Yeon; Alexander, Shapiro - 2009
The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical part of the methodology in structural equations modeling (SEM). Recently, it was argued by some authors that in certain situations normal distributions may give a better...
Persistent link: https://www.econbiz.de/10015218186
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Normal versus Noncentral Chi-square Asymptotics of Misspecified Models
Chun, So Yeon; Alexander, Shapiro - 2009
The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical part of the methodology in structural equations modeling (SEM). Recently, it was argued by some authors that in certain situations normal distributions may give a better...
Persistent link: https://www.econbiz.de/10015218214
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Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Koop, Gary; Korobilis, Dimitris - 2009
Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...
Persistent link: https://www.econbiz.de/10015220073
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Subset hypotheses testing and instrument exclusion in the linear IV regression
Doko Tchatoka, Firmin - 2010
This paper explores the sensitivity of plug-in based subset tests to instrument exclusion in linear IV regression. Recently, identification-robust statistics based on plug-in principle have been developed for testing hypotheses specified on subsets of the structural parameters. However, their...
Persistent link: https://www.econbiz.de/10015226151
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Bayesian Approaches to Shrinkage and Sparse Estimation
Korobilis, Dimitris; Shimizu, Kenichi - 2021
In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/noparametric inference is the norm in several fields of applied econometric work....
Persistent link: https://www.econbiz.de/10015265696