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Discordant relaxations of misspecified models

Li, Lixiong; Kédagni, Désiré; Mourifié, Ismaël - In: Quantitative economics : QE ; journal of the … 15 (2024) 2, pp. 331-379

In many set-identified models, it is difficult to obtain a tractable characterization of the identified set. Therefore, researchers often rely on nonsharp identification conditions, and empirical results are often based on an outer set of the identified set. This practice is often viewed as...

Persistent link: https://www.econbiz.de/10015053109

Testing parameter constancy in unit root autoregressive models against continuous change

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...

Persistent link: https://www.econbiz.de/10002570513

The Phantom Menace of Omitted Variables – a Comment

Ritter, Nolan; Vance, Colin - 2011

This note demonstrates that in applied regression analysis, the variance of a coefficient of interest may decrease from the inclusion of a control variable, contrasting with Clarke’s assertion (2005, 2009) that the variance can only increase or stay the same. Practitioners may thus be...

Persistent link: https://www.econbiz.de/10014177659

Hypothesis Testing in the 20th Century with a Special Reference to Testing with Misspecified Models

Bera, Anil K. - 1999

consequences of misspecification of the priori admissible hypothesis on the standard hypothesis testing procedures. We will call … misspecified, and discuss how some of the standard tests could be modified to make them valid under various misspecification …

Persistent link: https://www.econbiz.de/10014184306

Maximum Likelihood Inference in Weakly Identified DSGE Models

Andrews, Isaiah; Mikusheva, Anna - 2011

This paper examines the problem of weak identification in maximum likelihood, motivated by problems with estimation and inference a multi-dimensional, non-linear DSGE model. We suggest a test for a simple hypothesis concerning the full parameter vector which is robust to weak identification. We...

Persistent link: https://www.econbiz.de/10014184515

Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2011

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10014047091

Testing a Parametric Function Against a Nonparametric Alternative in IV and GMM Settings

Gørgens, Tue; Wurtz, Allan - 2009

This paper develops a specification test for functional form for models identified by moment restrictions, including IV and GMM settings. The general framework is one where the moment restrictions are specified as functions of data, a finite-dimensional parameter vector, and a nonparametric real...

Persistent link: https://www.econbiz.de/10014200774

Inference for Iterated GMM Under Misspecification and Clustering

Hansen, Bruce E.; Lee, Seojeong - 2019

(GMM) estimation focusing on the iterated GMM estimator, allowing for moment misspecification, and for clustered dependence …-identified models. This form of moment misspecification causes bias in conventional standard error estimation. Our results show how to … are highly biased under moment misspecification, severely understating estimation uncertainty, and resulting in severely …

Persistent link: https://www.econbiz.de/10014033687

Model Specification between Parametric and Nonparametric Cointegration

Gao, Jiti - 2012

This paper considers a general model specification between a parametric co-integrating model and a nonparametric co-integrating model in a multivariate regression model, which involves a univariate integrated time series regressor and a vector of stationary time series regressors. A new and...

Persistent link: https://www.econbiz.de/10013101176

A Statistical Comparison of the CAPM to the Fama-French Three Factor Model and the Carhart's Model

Bello, Zakri Y. - 2010

The goal of this study is to compare the CAPM to the Fama-French (FF) Three Factor Model and to Carhart‟s extension of the FF Model with regard to (1) statistical goodness of fit, and (2) the quality of prediction. My sample consists of actively managed domestic equity mutual funds and the...

Persistent link: https://www.econbiz.de/10013149044