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Valid inference for a class of models where standard inference performs poorly : including nonlinear regression, ARMA, GARCH, and unobserved components
Ma, Jun; Nelson, Charles R. - 2010
In models that have a representation of the form       ) , ( x g y the Wald test for ˆBeta has systematically wrong size in finite samples when the indentifying parameter Gamma is small relative to its estimation error. An alternative test based on linearization of g(.) can be...
Persistent link: https://www.econbiz.de/10009732563
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Tests of no cross-sectional error dependence in panel quantile regressions
Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023
This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile … regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the … development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting …
Persistent link: https://www.econbiz.de/10014366629
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Approximate permutation tests and induced order statistics in the regression discontinuity design
Canay, Ivan A.; Kamat, Vishal - 2016
In the regression discontinuity design, it is common practice to asses the credibility of the design by testing whether the means of baseline covariates do not change at the cutoff (or threshold) of the running variable. This practice is partly motivated by the stronger implication derived by...
Persistent link: https://www.econbiz.de/10011522382
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Cointegrating polynomial regressions : fully modified OLS estimation and inference
Hong, Seung Hyun; Wagner, Martin - 2011
This paper develops a fully modified OLS estimator for cointegrating polynomial regressions, i.e. for regressions including deterministic variables, integrated processes and powers of integrated processes as explanatory variables and stationary errors. The errors are allowed to be serially...
Persistent link: https://www.econbiz.de/10009686189
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Approximate permutation tests and induced order statistics in the regression discontinuity design
Canay, Ivan A.; Kamat, Vishal - 2017
In the regression discontinuity design (RDD), it is common practice to asses the credibility of the design by testing whether the means of baseline covariates do not change at the cutoff (or threshold) of the running variable. This practice is partly motivated by the stronger implication derived...
Persistent link: https://www.econbiz.de/10011645890
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Approximate permutation tests and induced order statistics in the regression discontinuity design
Canay, Ivan A.; Kamat, Vishal - 2015
This paper proposes an asymptotically valid permutation test for a testable implication of the identification assumption in the regression discontinuity design (RDD). Here, by testable implication, we mean the requirement that the distribution of observed baseline covariates should not change...
Persistent link: https://www.econbiz.de/10011282791
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Homogenous vs. heterogenous transition functions in smooth transition regressions : a LM-type test
Demetrescu, Matei; Leppin, Julian Sebastian; Reitz, Stefan - 2017
(Panel) Smooth Transition Regressions substantially gained in popularity due to their flexibility in modeling …
Persistent link: https://www.econbiz.de/10011749886
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Inference under covariate-adaptive randomization with multiple treatments
Bugni, Federico A.; Canay, Ivan A.; Shaikh, Azeem M. - 2017
This paper studies inference in randomized controlled trials with covariate-adaptive randomization when there are multiple treatments. More specifically, we study in this setting inference about the average effect of one or more treatments relative to other treatments or a control. As in Bugni...
Persistent link: https://www.econbiz.de/10011758009
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Testing continuity of a density via g-order statistics in the regression discontinuity design
Bugni, Federico A.; Canay, Ivan A. - 2018
In the regression discontinuity design (RDD), it is common practice to assess the credibility of the design by testing the continuity of the density of the running variable at the cut-off, e.g., McCrary (2008). In this paper we propose a new test for continuity of a density at a point based on...
Persistent link: https://www.econbiz.de/10011809514
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Impossible inference in econometrics : theory and applications
Bertanha, Marinho; Moreira, Marcelo J. - 2019 - This version: November 14, 2018
This paper studies models in which hypothesis tests have trivial power, that is, power smaller than size. This testing impossibility, or impossibility type A, arises when any alternative is not distinguishable from the null. We also study settings where it is impossible to have almost surely...
Persistent link: https://www.econbiz.de/10011958082