Similar Search Results

Robust tests for ARCH in the presence of a misspecified conditional mean : a comparison of nonparametric approaches

Maki, Daiki; Ota, Yasushi - In: Cogent economics & finance 9 (2021) 1, pp. 1-18

This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean. The approaches employed are based on two nonparametric regressions for the conditional mean: an ARCH test with a...

Persistent link: https://www.econbiz.de/10013183738

Nonparametric Generalized Least Squares in Applied Regression Analysis

O'Hara, Michael E. - 2013

variants of heteroscedasticity robust standard error estimators (HRSEs) in an applied setting. Given myriad alternative HRSEs … various approaches to handling heteroscedasticity to data on professor rankings obtained from ratemyprofessor.com and find not … only heteroscedasticity to be prevalent but NPGLS and FGLS provide different insights and the statistical significance of …

Persistent link: https://www.econbiz.de/10013077989

A Consistent LM Type Specification Test for Semiparametric Panel Data Models

Korolev, Ivan - 2019

This paper develops a consistent series-based specification test for semiparametric panel data models with fixed effects. The test statistic resembles the Lagrange Multiplier (LM) test statistic in parametric models and is based on a quadratic form in the restricted model residuals. The use of...

Persistent link: https://www.econbiz.de/10012862375

Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

Mancini, Loriano - 2008

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these...

Persistent link: https://www.econbiz.de/10012727977

Robust Semiparametric Estimation in Panel Multinomial Choice Models

Gao, Wayne Yuan - 2020

This paper proposes a robust method for semiparametric identification and estimation in panel multinomial choice models, where we allow for infinite-dimensional fixed effects that enter into consumer utilities in an additively nonseparable way, thus incorporating rich forms of unobserved...

Persistent link: https://www.econbiz.de/10012850938

Robust tests for white noise and cross-correlation

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020

Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation between time series rely on procedures whose validity holds for i.i.d. data. When the series are not i.i.d., the size of correlogram and cumulative Ljung-Box tests...

Persistent link: https://www.econbiz.de/10012243279

Comparing distributions : the harmonic mass index

Hinloopen, Jeroen; Marrewijk, Charles van - 2005

The information contained in PP-plots is transformed into a single number. The resulting Harmonic Mass (HM) index is distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of the distribution of the sample HM index is...

Persistent link: https://www.econbiz.de/10011348352

Robust Confidence Intervals for Average Treatment Effects Under Limited Overlap

Rothe, Christoph - 2015

Estimators of average treatment effects under unconfounded treatment assignment are known to become rather imprecise if there is limited overlap in the covariate distributions between the treatment groups. But such limited overlap can also have a detrimental effect on inference, and lead for...

Persistent link: https://www.econbiz.de/10013029637

Robust Data-Driven Inference for Density-Weighted Average Derivatives

Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - 2009

This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error...

Persistent link: https://www.econbiz.de/10014203492

Testing a Class of Semi- or Nonparametric Conditional Moment Restriction Models using Series Methods

Sørensen, Jesper R.-V. - 2020

This paper proposes a new test for a class of conditional moment restrictions whose parameterization involves unknown, unrestricted conditional expectation functions. Examples of such conditional moment restrictions are conditional mean independence (leading to a nonparametric significance test)...

Persistent link: https://www.econbiz.de/10012826483