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Robust hypothesis tests for m-estimators with possibly non-differentiable estimating functions

Lee, Wei-ming; Hsu, Yu-Chin; Kuan, Chung-ming - 2014

Persistent link: https://www.econbiz.de/10010355209

Robust hypothesis tests for M-estimators with possibly non-differentiable estimating functions

Lee, Wei-Ming; Hsu, Yu-Chin; Kuan, Chung-ming - In: The econometrics journal 18 (2015) 1, pp. 95-116

Persistent link: https://www.econbiz.de/10011345990

Doubly Robust Estimation of Local Average Treatment Effects Using Inverse Probability Weighted Regression Adjustment

Słoczyński, Tymon; Uysal, Selver Derya; Wooldridge, … - 2022

exogenous or to improve precision. Unlike previous approaches, our doubly robust (DR) estimation procedures use quasi …

Persistent link: https://www.econbiz.de/10014241316

Doubly Robust Estimation of Local Average Treatment Effects Using Inverse Probability Weighted Regression Adjustment

Słoczyński, Tymon; Uysal, Selver Derya; Wooldridge, … - 2022

exogenous or to improve precision. Unlike previous approaches, our doubly robust (DR) estimation procedures use quasi …

Persistent link: https://www.econbiz.de/10014241967

A new robust inference for predictive quantile regression

Cai, Zongwu; Chen, Haiqiang; Liao, Xiaosai - In: Journal of econometrics 234 (2023) 1, pp. 227-250

Persistent link: https://www.econbiz.de/10014364804

Quantile regression for robust bank efficiency score estimation

Behr, Andreas - In: European journal of operational research : EJOR 200 (2009/10) 2, pp. 568-581

Persistent link: https://www.econbiz.de/10003897238

Robust CUSUM-M test in the presence of long-memory disturbances

Sibbertsen, Philipp - 2000 - Version March 2000

We derive the limiting null distribution of the robust CUSUM-M test and the recursive CUSUM-M test for structural change of the coefficients of a linear regression model with long-memory disturbances. It turns out that the asymptotic null distribution of the CUSUM-M statistic is a fractional...

Persistent link: https://www.econbiz.de/10009783551

Reexamination of estimating beta coecient as a risk measure in CAPM

Le Tan Phuoc; Kim, Kee S.; Su, Yingcai - In: Journal of Asian finance, economics and business : JAFEB 5 (2018) 1, pp. 11-16

Persistent link: https://www.econbiz.de/10011917748

Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry

Pouliot, William - In: Economic modelling 58 (2016), pp. 523-534

Persistent link: https://www.econbiz.de/10011647526

A New Approach to Estimating Earnings Forecasting Models : Robust Regression MM-estimation

Qu, Li - 2020

This study focuses on the impact of model estimation methods on earnings forecast accuracy. Compared with an ordinary … least squares (OLS) regression combined with winsorization, robust regression MM-estimation improves the earnings forecast … robust regression MM-estimation. This study contributes to earnings forecasting, valuation, and influential observation …

Persistent link: https://www.econbiz.de/10012850667