We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD-validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the...

This paper proposes a simple nonparametric test of the hypothesis of no measurement error in explanatory variables and of the hypothesis that measurement error, if there is any, does not distort a given object of interest. We show that, under weak assumptions, both of these hypotheses are...

We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD-validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the...

In this paper, we propose a model-free bootstrap method for the empirical process under absolute regularity. More precisely, consistency of an adapted version of the so-called dependent wild bootstrap, that was introduced by Shao (2010) and is very easy to implement, is proved under minimal...

In this paper, we propose a model-free bootstrap method for the empirical process under absolute regularity. More precisely, consistency of an adapted version of the so-called dependent wild bootstrap, that was introduced by Shao (2010) and is very easy to implement, is proved under minimal...

We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...

In this paper, we propose a model-free bootstrap method for the empirical process under absolute regularity. More precisely, consistency of an adapted version of the so-called dependent wild bootstrap, that was introduced by Shao (2010) and is very easy to implement, is proved under minimal...

We analyze the high-frequency dynamics of S&P 500 equity-index option prices by constructing an assortment of implied volatility measures. This allows us to infer the underlying fine structure behind the innovations in the latent state variables driving the movements of the volatility surface....

We propose new tests of the martingale hypothesis based on generalized versions of the Kolmogorov-Smirnov and Cramer-von Mises tests. The tests are distribution free and allow for a weak drift in the null model. The methods do not require either smoothing parameters or bootstrap resampling for...

Urban economists hypothesize that industrial diversity matters for urban growth and development, but metrics for empirically testing this relationship are limited to simple concentration metrics (e.g. location quotient) or summary diversity indices (e.g. Gini, Herfindahl). As shown by recent...

In this paper we propose a new goodness-of-fit testing scheme for the marginal distribution of regime-switching models. We consider models with an observable (like threshold autoregressions), as well as, a latent state process (like Markov regime-switching). The test is based on the...

We propose a pretest, bootstrap Kolmogorov-Smirnov test, to differentiate between weak and nearly-weak asymptotics. This is based on bootstrapping Wald Continuous Updating Estimator (CUE) based test. Since Wald CUE test has different limits under weak and nearly-weak cases this can be used in a...

In this paper we propose a novel goodness-of-fit testing scheme for regime-switching models. We consider models with an observable, as well as, a latent state process. The test is based on the Kolmogorov-Smirnov supremum-distance statistic and the concept of the weighted empirical distribution...

As shown by the relevant literature the consumer behaviour of women differs from that of men. Women go shopping not necessary from need, but for the feeling of delight, the shopping is not in rush, they go shopping in the company of friends, spending hours in shops selecting very carefully; in...

In the marketing research the instances when we need to examine the relationship between two variables are frequent. Knowing the relationship between the two variables involves the use of tests that can be parametric and nonparametric. This paper includes the non-parametric tests used in the...

A software package, rBeta2009, developed to generate beta random numbers and Dirichlet random vectors in R is presented. The package incorporates state-of-the-art algorithms so as to minimize the computer generation time. In addition, it is designed in a way that (i) the generation efficiency is...

In this paper, the identifiability of a finite mixture of generalized exponential distributions (GE(τ, α)) is proved and the maximum likelihood estimates (MLE’s) of the parameters are obtained using EM algorithm based on a general form of right-censored failure times. The results are...

According to previous studies that applied a popular goodness-of-fit test, the wealth of the world’s billionaires does not follow a Pareto distribution. The test applied by those studies assumes that wealth is measured without error, yet, if different sources of data on the wealthiest people...

This paper considers the distribution of consumption expenditures for a large sample of documented and undocumented immigrants in Italy. Using the one-sided and two-sided Kolmogorov-Smirnov tests, we show that the distribution of consumption of immigrants with higher permanence in the host...

Yitzhaki (1996) showed that the OLS estimator of the slope coefficient in a simple regression is a weighted average of the slopes delineated by adjacent observations. The weights depend only on the distribution of the independent variable. In this paper I demonstrate that equal weights can only...