This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...

Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two distributions. These tests have a null hypothesis of nondominance, with the advantage that, if this null is rejected, then all that is left is dominance. This also leads us to...

In an attempt to free bootstrap theory from the shackles of asymptotic considerations, this paper studies the possibility of justifying, or validating, the bootstrap, not by letting the sample size tend to infinity, but by considering the sequence of bootstrap P values obtained by iterating the...

We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that writing all the test statistics -- Student's t, Anderson-Rubin, the LM statistic of Kleibergen and Moreira (K), and likelihood ratio...

Conventional wisdom says that the middle classes in many developed countries have recently suffered losses, in terms of both the share of the total population belonging to the middle class, and also their share in total income. Here, distribution-free methods are developed for inference on these...

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Datasets in a variety of disciplines require methods where both the sample size and the dataset dimensionality are allowed to be large. This framework is drastically different from the classical asymptotic framework where the number of observations is allowed to be large but the dimensionality...

The paradigm of a factor model is very appealing and has been used extensively in economic analyses. Underlying the factor model is the idea that a large number of economic variables can be adequately modelled by a small number of indicator variables. Throughout this extensive research activity...