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We discuss statistical inference problems associated with identification and testability in econometrics. We consider inference in non-parametric models and weakly identified structural models (weak instruments). We point out that many ill-defined statistical problems, such as non-testable...
Persistent link: https://www.econbiz.de/10014074912
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...
Persistent link: https://www.econbiz.de/10010324850
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...
Persistent link: https://www.econbiz.de/10014111453
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...
Persistent link: https://www.econbiz.de/10011327543
sample performance of the new test with the bootstrap methods as well as with the standard normal approximations, and show … that the fixed-b asymptotics and the bootstrap methods are markedly superior to the standard normal approximation for a …
Persistent link: https://www.econbiz.de/10014198306
functionals of kernel-type estimators (1 < p < ∞) and is easy to implement in general, mainly due to its recourse to the bootstrap … method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated … "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large …
Persistent link: https://www.econbiz.de/10010254852
coverage for small sample sizes, a simple bootstrap procedure is designed based on the leading term of the Bahadur … demonstrated that the bootstrap procedure considerably outperforms the asymptotic bands in terms of coverage accuracy. Finally, the … bootstrap confidence corridors are used to study the efficacy of the National Supported Work Demonstration, which is a …
Persistent link: https://www.econbiz.de/10010354164
the test statistics or using bootstrap methods to obtain critical values. Our simulation results indicate that our tests …
Persistent link: https://www.econbiz.de/10011317720
We introduce a nonparametric block bootstrap approach for Quasi-Likelihood Ratio type tests of nonlinear restrictions …. Unlike existing parametric bootstrap procedures for Quasi-Likelihood Ratio type tests, our procedure constructs bootstrap … samples in a fully nonparametric way. We study the higher order properties of our nonparametric block bootstrap and show the …
Persistent link: https://www.econbiz.de/10014178027
This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...
Persistent link: https://www.econbiz.de/10013117347