This paper examines the causal impact of domestic trade liberalization on Chinese firms' product and labor market power. To recover both market power measures, we identify a firm's regime of competitiveness, corresponding to a product market setting and a labor market setting, at any point in...

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...

Norway experienced a high immigration flow after the EEA directive in 2004 stating workers right to free movement within the European Union and EEA-countries. There is no clear consensus in the literature on how immigration affects native wages, but some studies using Norwegian micro data have...

Norway experienced a high immigration flow after the EEA directive in 2004 stating workers right to free movement within the European Union and EEA-countries. There is no clear consensus in the literature on how immigration affects native wages, but some studies using Norwegian micro data have...

There has been much debate about null hypothesis significance testing, p-values without null hypothesis significance testing, and confidence intervals. The first major section of the present article addresses some of the main reasons these procedures are problematic. The conclusion is that none...

In empirical applications based on linear regression models, structural changes often occur in both the error variance and regression coefficients, possibly at different dates. A commonly applied method is to first test for changes in the coefficients (or in the error variance) and, conditional...

This paper examines the impact of WTO membership on the extensive and intensive margins of product and labor market power of Chinese manufacturing firms during the period 1999- 2006. We first identify a firm's regime of competitiveness, corresponding to a combination of a product market setting...

This paper proposes a post-model selection inference procedure, called targeted undersmoothing, designed to construct uniformly valid confidence sets for functionals of sparse high-dimensional models, including dense functionals that may depend on many or all elements of the high-dimensional...

This paper introduces and analyzes a procedure called Testing-Based Forward Model Selection (TBFMS) in linear regression problems. This procedure inductively selects covariates that add predictive power into a working statistical model before estimating a final regression. The criterion for...

A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order...

Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the target variable. This paper develops tests for the null hypothesis that forecasts become uninformative beyond some limiting forecast horizon h. Following Diebold and Mariano (DM,...

Many empirical questions can be cast as inference on a parameter selected through optimization. For example, researchers may be interested in the effectiveness of the best policy found in a randomized trial, or the best-performing investment strategy based on historical data. Such settings give...

Many questions in econometrics can be cast as inference on a parameter selected through optimization. For example, researchers may be interested in the effectiveness of the best policy found in a randomized trial, or the bestperforming investment strategy based on historical data. Such settings...

This paper proposes a post-model selection inference procedure, called targeted undersmoothing, designed to construct uniformly valid confidence sets for functionals of sparse high-dimensional models, including dense functionals that may depend on many or all elements of the high-dimensional...

This paper introduces and analyzes a procedure called Testing-Based Forward Model Selection (TBFMS) in linear regression problems. This procedure inductively selects covariates that add predictive power into a working statistical model before estimating a final regression. The criterion for...

Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the target variable. This paper develops tests for the null hypothesis that forecasts become uninformative beyond some limiting forecast horizon h. Following Diebold and Mariano (DM,...

A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order...

In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different datasets that cannot be matched....

This paper addresses the problem of estimation of a nonparametric regression function from selectively observed data when selection is endogenous. Our approach relies on independence between covariates and selection conditionally on potential outcomes. Endogeneity of regressors is also allowed...

This paper presents estimates from a latent variables model of the relation between corporate governance and financial performance. We use data on large US corporations to estimate the correlation, conditional on the firms' investment opportunity set, between governance and performance. We find...

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. These functions are restricted to be linear for two-sided testing problems, but may be nonlinear for one-sided testing problems. In the most common case, this function...

This paper considers testing procedures for the null hypothesis of a unit root process against the alternative of a fractional process, called a fractional unit root test. We extend the Lagrange Multiplier (LM) tests of Robinson (1994) and Tanaka (1999), which are locally best invariant and...

The paper considers estimation and inference in cointegrating polynomial regressions, i. e., regressions that include deterministic variables, integrated processes and their powers as explanatory variables. The stationary errors are allowed to be serially correlated and the regressors are...

Parametric production frontier functions are frequently used in stochastic frontier models, but there do not seem to be any empirical test statistics for its plausibility. To bridge the gap in the literature, we develop two test statistics based on local smoothing and an empirical process,...

In empirischen Analysen werden Testergebnisse häufig tabellarisch als statistisch signifikante oder insignifikante Resultate ausgewiesen. Der vorliegende Beitrag beschäftigt sich mit der sachgerechten Interpretation der insignifikanten Resultate und der Analyse möglicher Ursachen. Als...

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. These functions are restricted to be linear for two-sided testing problems, but may be nonlinear for one-sided testing problems. In the most common case, this function...