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Testing a polynomial relationship of the non-parametric component in partially linear spatial autoregressive models

Li, Tizheng; Mei, Changlin - In: Papers in regional science : the journal of the … 92 (2013) 3, pp. 633-649

Persistent link: https://www.econbiz.de/10009790527

Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors

Moreira, Humberto; Moreira, Marcelo J. - 2016 - This version: June 10, 2016

This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We...

Persistent link: https://www.econbiz.de/10011485564

How to implement the bootstrap in static or stable dynamic regression models

Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001

different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …

Persistent link: https://www.econbiz.de/10011325661

Tests for spatial dependence and heterogeneity in spatially autoregressive varying coefficient models with application to Boston house price analysis

Li, Deng-Kui; Mei, Chang-Lin; Wang, Ning - In: Regional science & urban economics 79 (2019), pp. 1-15

Persistent link: https://www.econbiz.de/10012267915

Uniform inference with general autoregressive processes

Magdalinos, Tassos; Petrova, Petrova - 2025

A unified theory of estimation and inference is developed for an autoregressive process with root in (-∞, ∞) that includes the stationary, local-to-unity, explosive and all intermediate regions. The discontinuity of the limit distribution of the t-statistic outside the stationary region and...

Persistent link: https://www.econbiz.de/10015396070

Investor sentiment and bitcoin prices

Koutmos, Dimitrios - In: Review of quantitative finance and accounting 60 (2023) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10013548963

Fast algorithms for the quantile regression process

Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - In: Empirical economics : a quarterly journal of the … 62 (2022) 1, pp. 7-33

Persistent link: https://www.econbiz.de/10012819429

Testing for a general class of functional inequalities

Lee, Sokbae; Song, Kyungchul; Whang, Yoon-jae - 2014

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

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of econometrics 178 (2014) 1, pp. 167-179

Persistent link: https://www.econbiz.de/10010255448

Tie the straps : uniform bootstrap con fidence bands for bounded influence curve estimators

Härdle, Wolfgang; Ritov, Ya'acov; Wang, Weining - 2013

We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and … verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are …. Our bootstrap method can be used in many situations like constructing con dence intervals and bands. We demonstrate the …

Persistent link: https://www.econbiz.de/10010195959