Search Results - subject_exact:"Test statistics"

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Initial-condition-robust inference in autoregressive models

Andrews, Donald W. K.; Li, Ming; Zheng, Yapeng - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618889

Specification testing for binary choice model via maximum score

Ota, Yuta; Otsu, Taisuke - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015561469

MSTest: an R-package for testing Markov switching models

Rodriguez Rondon, Gabriel; Dufour, Jean-Marie - 2026 - Last updated: March 4, 2026

We present the R package MSTest, which implements hypothesis testing procedures to determine the number of regimes in Markov switching models. These models have wide ranging applications in economics, finance, and many other fields. MSTest provides several testing frameworks, including Monte...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015612283

Testing the normality assumption in an ordered probit model using an artificial regression : some results for the LM-test

Wilde, Joachim; Forstinger, Sarah - 2026

The key assumption of normally distributed error terms is usually not tested in empirical practice when using ordered probit models. Therefore, an artificial regression version of the LM test against the class of Pearson distributions is derived that can be implemented more easily than the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615792

It must be very hard to publish null results

Briggs, Ryan C.; Mellon, Jonathan; Arel-Bundock, Vincent - 2026

Publication practices in the social sciences act as a filter that favors statistically significant results over null findings. While the problem of selection on significance (SoS) is well-known in theory, it has been difficult to measure its scope empirically, and it has been challenging to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606093

Long-run linkages and parameter instability in the gold–silver relationship, 2010-2025

Caporale, Guglielmo Maria; Palomares, Antonio Fons; … - 2026

This paper examines long-run linkages and possible instabilities in the gold–silver price relationship using daily futures prices over the period from 4 January 2010 to 28 November 2025. The empirical analysis includes unit-root and cointegration tests as well as endogenous structural break...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626655

Comparing the estimation of value at risk and expected shortfall with LSTM and EGARCH family members

Li, Shujie - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627081

Testing IV validity and LATE interpretation using flexible covariate specifications

Krumme, Anna; Westphal, Matthias - 2026

Building on the testable implications for IV validity underlying local average treatment effect (LATE) estimation, we (i) propose a simple testing procedure that may accommodate high-dimensional covariates and (ii) demonstrate that it can also detect biases arising from misspecified IV...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638105

Testing identifying assumptions in Tobit models

Acerenza, Santiago; Bartalotti, Otávio; Veneri, Federico - 2026

We develop testable implications for the identifying assumptions of Tobit and IV-Tobit models: linear index, (joint) normality of errors, treatment (instrument) exogeneity, and relevance. The new testable equalities can detect all possible observable violations of the identifying conditions. The...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638520

Pre-results review and p-hacking

Naguib, Costanza - 2026

In 2018, the Journal of Development Economics introduced a pre-results review track, allowing prospective empirical projects to be assessed before the realization and reporting of their results. This paper studies whether this change in the editorial process affected the prevalence of p-hacking...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638589

Systematic backtesting of probability of default models with regulatory data : methodological advances and empirical insights from European regulatory data

Casellina, Simone; Chionsini, Gaetano; Kopp, Raphael M.; … - 2026

Internal ratings-based models play a central role in bank risk management and regulatory capital determination, yet their validation remains methodologically challenging and operationally resourceintensive. In this paper, we contribute to the quantitative validation of probability of default...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638710

Is inference conditional on not rejecting a pre-test less reliable than unconditional inference?

Chaisemartin, Clément de; D'Haultfœuille, Xavier - 2026

Assume that an estimator is asymptotically normal for a target parameter under some conditions. Suppose also that one can test these conditions, and one conducts inference for the target only if the pre-test is not rejected. Does such pre-testing undermine inference? We show that if the tested...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644454

Power law heteroskedasticity

Price, David J. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647094

ROBIST : robust optimization by iterative scenario sampling and statistical testing

Starreveld, Justin; Jin, Guanyu; Hertog, Dirk den; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534326

New tests of equal forecast accuracy for factor-augmented regressions with weaker loadings

Margaritella, Luca; Stauskas, Ovidijus - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668482

A consistent LM-type specification test for semiparametric panel data models

Korolev, Ivan - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015669730

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A Consistent LM Type Specification Test for Semiparametric Panel Data Models

Korolev, Ivan - 2019

Book / Working Paper

Equilibrium self-selection in pass-fail tests

Bertola, Giuseppe - 2026

Whether taking an optional pass-fail test is optimal depends on pass probabilities, which increase in productivity and are each individual's private information, and on the wages earned when passing or failing the test, which are conditional expectations formed about productivity by employers...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015665339

Monte Carlo likelihood-ratio tests for Markov switching models

Rodriguez Rondon, Gabriel; Dufour, Jean-Marie - 2026 - Last updated: July 2, 2026

Markov switching models are widely used to capture nonlinearities arising from regime shifts. Most existing tests for the number of regimes focus on one versus two regimes. Even in such simple cases, this type of problem raises issues of non-standard asymptotic distributions, identification...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670737

On the rates of convergence of induced ordered statistics and their applications

Bugni, Federico A.; Canay, Ivan A.; Kim, Deborah - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672963

Specification testing with many auxiliary statistics

Antoine, Bertille; Tetteh, Richmond - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676279

Exact inference after data-driven control-unit selection in difference-in-differences

Nakano, Ryoya; Hoshino, Takahiro - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676167

Reproduction report on "Unpacking p-Hacking and Publication Bias"

Gendre, Alexandra de; Salamanca, Nicolás - 2026

Brodeur, Carrell, Figlio and Lusher (2023) present the first descriptive evidence on p-hacking and publication bias throughout the publication process in economics. Using data from the Journal of Human Resources, they show that 1) p-values in initial submissions present humping around the 10 and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677188

Response to de Gendre and Salamanca's comment on "Unpacking p-Hacking and Publication Bias"

Brodeur, Abel; Carrell, Scott; Figlio, David N.; … - 2026

We are grateful to Alexandra de Gendre and Nicolás Salamanca for their careful reproduction, robustness analyses, and extensions of our article, "Unpacking p-Hacking and Publication Bias." Their comment exemplifies the type of scientific engagement that strengthens research and advances...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677561

Beyond homogeneity: testing spatial dependence under heterogeneous coefficients in large panels

Chang, Shi Ryoung; Jong, Robert M. de - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016060550

Long-term effectiveness and cost-effectiveness of testing for alemtuzumab antidrug antibodies to guide treatment in multiple sclerosis : a modelling study

Jamieson, Timothy; Tomini, Florian; Gnanapavan, Sharmilee; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016074007

Confidence sets for the date of a weak mean break in functional data

Lin, Yicong - 2026

We develop confidence sets for the date of a single mean break in functional data when the break may be too weak to be consistently detected. Under each maintained null, segmentwise demeaning removes the unknown mean and break functions, so valid inference does not require consistent detection...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016072842

Robustness? : range tests for equality and equivalence across specifications

Jaeger, David A. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061294

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Robustness? : range tests for equality and equivalence across specifications

Jaeger, David A. - 2026

Book / Working Paper

Testing spatial interactions with origin-side heterogeneity

Chang, Shi Ryoung - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016060551

Regularized goodness-of-fit statistics and exact nonparametric confidence bands for distributions with application to household consumption

Diouf, Mame Astou; Dufour, Jean-Marie - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016082894

When samples shape significance

Ale, Sonia; Islam, Md Shafiqul; Lusher, Lester; Osman, Huda - 2026

Random sampling yields unbiased estimates, yet sampling variation alone can produce incorrect conclusions. Using a setting where repeated draws from the same data-generating process are observable, we replicate findings from 24 papers in top economics journals and re-estimate each result using...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016082518

Instrument-hacking

Keane, Michael P.; Neal, Timothy; Vu, Patrick - 2026

In instrumental-variable (IV) studies, researchers often evaluate multiple candidate instruments and selectively report the specification with the most favorable first- or second-stage statistics. We show that this form of instrument selection ("instrument-hacking") induces median bias in IV...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016082546

Assessing integration orders for SARIMA modeling A hypothesis testing approach with information criterion hyperparameter selection, case of predicting gas consumption in central Tunisia

Slimane, Mohamed; Bedioui, Neila; Besbes, Mongi - 2025

Forecasting natural gas demand is critical for enhancing energy efficiency, optimizing infrastructure planning, and supporting Tunisia's transition toward sustainable energy. As the fastest-growing fossil fuel and one of the cleanest among non-renewable energy sources, natural gas plays a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015486055

Value added to marketing research diagnoses by add-ons to p-values

Bultez, Alain; Herrmann, Jean-Luc - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015486172

Does liquidity management induce fragility in treasury prices? : evidence from bond mutual funds

Huang, Shiyang; Jiang, Wenxi; Liu, Xiaoxi; Liu, Xin - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371019

Quantile-based test for heterogeneous treatment effects

Chung, EunYi; Olivares, Mauricio - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372703

Bonferroni-type tests for return predictability with possibly trending predictors

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372710

A novel approach to predictive accuracy testing in nested environments

Pitarakis, Jean-Yves - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374590

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A Novel Approach to Predictive Accuracy Testing in Nested Environments

Pitarakis, Jean-Yves - 2023

Book / Working Paper

Valid heteroskedasticity robust testing

Pötscher, Benedikt M.; Preinerstorfer, David - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015374599

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - 2025

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333723

Power to the researchers : calculating power after estimation

Tian, Jiarui; Coupé, Tom; Khatua, Sayak; Reed, W. Robert; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015334797

Show one more version 1

Power to the researchers : calculating power after estimation

Tian, Alex; Coupé, Tom; Khatua, Sayak; Reed, W. Robert; … - 2022

Book / Working Paper

Double robust inference for continuous updating GMM

Kleibergen, Frank; Zhan, Zhaoguo - 2025

We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015190343

Under the null of valid specification, pre-tests cannot make post-test inference liberal

Chaisemartin, Clément de; D'Haultfœuille, Xavier - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015191509

Spatial unit roots in regressions : a practitioner's guide and a stata package

Becker, Sascha O.; Boll, Paul David; Voth, Hans-Joachim - 2025

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in Müller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015191744

Testing for nonlinear cointegration under heteroskedasticity

Hanck, Christoph; Massing, Till Philipp Georg - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015196620

Robust inference in instrumental variable models

Klooster, Jens - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015199696

Testing for multiple structural breaks in multivariate long memory regression models

Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025

This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015200188

Overinference from weak signals and underinference from strong signals

Augenblick, Ned; Lazarus, Eben; Thaler, Michael - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015359019

Nonparametric inference for a triangular system of equations for quantile regression

Kim, Yubin; Lee, Sungwon - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015325814

Linear regression with weak exogeneity

Mikusheva, Anna; Sølvsten, Mikkel - 2025

This paper studies linear time‐series regressions with many regressors. Weak exogeneity is the most used identifying assumption in time series. Weak exogeneity requires the structural error to have zero conditional expectation given present and past regressor values, allowing errors to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015423082

Manipulation test for multidimensional RDD

Crippa, Federico - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015463331