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Inference for functions of partially identified parameters in moment inequality models

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014

This paper introduces a new hypothesis test for the null hypothesis H0 : f(Ø) = Y0, where f(.) is a known function, Y0 is a known constant, and Ø is a parameter that is partially identified by a moment (in)equality model. The main application of our test is sub-vector inference in moment...

Persistent link: https://www.econbiz.de/10010234017

Specification tests for partially identified models defined by moment inequalities

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2013

This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e., (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...

Persistent link: https://www.econbiz.de/10009692018

Inference for functions of partially identified parameters in moment inequality models

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014 - Ver. 10.2: May 4, 2014

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. As a special case, our method yields marginal confidence sets for individual coordinates of this parameter vector. Our inference method controls asymptotic size...

Persistent link: https://www.econbiz.de/10010348998

Inference for functions of partially identified parameters in moment inequality models

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2015

Persistent link: https://www.econbiz.de/10011326079

Robust critical values for unit root tests for series with conditional heteroscedasticity errors : an application of the simple NoVaS transformation

Mantalos, Panagiotis - In: Cogent economics & finance 5 (2017) 1, pp. 1-12

heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) and examine their properties using Monte … Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS-modified critical … values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS …

Persistent link: https://www.econbiz.de/10011877334

Specification tests for partially identified models defined by moment inequalities

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014 - Ver. 6.0: April 4, 2014

This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e. (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...

Persistent link: https://www.econbiz.de/10010340367

A Comparison of Inferential Methods in Partially Identified Models in Terms of Error in the Coverage Probability

Bugni, Federico A. - 2011

This paper considers the problem of coverage of the elements of the identified set in a class of partially identified econometric models with a prespecified probability. In order to conduct inference in partially identified econometric models defined by moment (in)equalities, the literature has...

Persistent link: https://www.econbiz.de/10013122858

Inference for subvectors and other functions of partially identified parameters in moment inequality models

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - In: Quantitative economics : QE ; journal of the … 8 (2017) 1, pp. 1-38

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. These functions are restricted to be linear for two-sided testing problems, but may be nonlinear for one-sided testing problems. In the most common case, this function...

Persistent link: https://www.econbiz.de/10011800922

Efficient discretization of stochastic integrals

Fukasawa, Masaaki - In: Finance and stochastics 18 (2014) 1, pp. 175-208

Persistent link: https://www.econbiz.de/10010235454

An observatory note on tests for normality assumptions

Siddiqi, Ahmed F. - In: Journal of modelling in management 9 (2014) 3, pp. 290-305

Persistent link: https://www.econbiz.de/10010463704