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Model-selection tests for conditional moment restriction models 条件矩约束模型的模型选择试验
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2016-12-21 DOI: 10.1111/ectj.12081
Yu-Chin Hsu, Xiaoxia Shi
{"title":"Model-selection tests for conditional moment restriction models","authors":"Yu-Chin Hsu,&nbsp;Xiaoxia Shi","doi":"10.1111/ectj.12081","DOIUrl":"10.1111/ectj.12081","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a Vuong-type model-selection test for models defined by conditional moment restrictions. The moment restrictions that define the models can be standard equality restrictions that point-identify the model parameters, or moment equality or inequality restrictions that partially identify the model parameters. The test uses a new average generalized empirical likelihood criterion function designed to incorporate full restriction of the conditional model. We also introduce a new adjustment to the test statistic that makes it asymptotically pivotal whether the candidate models are nested or non-nested. The test uses simple standard normal critical values and is shown to be asymptotically similar, to be consistent against all fixed alternatives, and to have non-trivial power against -local alternatives. Monte Carlo simulations demonstrate that the finite sample performance of the test is in accordance with the theoretical prediction.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2016-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12081","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123582164","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Testing for changes in (extreme) VaR 测试(极端)VaR的变化
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2016-12-10 DOI: 10.1111/ectj.12080
Yannick Hoga
{"title":"Testing for changes in (extreme) VaR","authors":"Yannick Hoga","doi":"10.1111/ectj.12080","DOIUrl":"10.1111/ectj.12080","url":null,"abstract":"<div>\u0000 \u0000 <p>In this paper, we develop tests for a change in an unconditional small quantile (Value-at-Risk, VaR, in financial time series analysis) based on an estimator motivated by extreme value theory. This so-called Weissman estimator allows tests to be applied for extreme VaR, where extant tests mostly fail. In view of applications, we allow for weakly dependent observations. Our test statistics rely on self-normalization, which obviates the need to estimate the complicated asymptotic variance. Consistency is shown under local alternatives, where multiple breaks can occur. A simulation study shows that in finite samples our tests compare favourably in the tail region with extant tests based on order statistic estimators and also with tail index break tests. Two empirical examples serve to illustrate the practical use of our tests.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2016-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12080","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72927275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
Sparse estimation of huge networks with a block-wise structure 具有块结构的大型网络的稀疏估计
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2016-11-24 DOI: 10.1111/ectj.12078
Francesco Moscone, Elisa Tosetti, Veronica Vinciotti
{"title":"Sparse estimation of huge networks with a block-wise structure","authors":"Francesco Moscone,&nbsp;Elisa Tosetti,&nbsp;Veronica Vinciotti","doi":"10.1111/ectj.12078","DOIUrl":"10.1111/ectj.12078","url":null,"abstract":"<p>Networks with a very large number of nodes appear in many application areas and pose challenges for traditional Gaussian graphical modelling approaches. In this paper, we focus on the estimation of a Gaussian graphical model when the dependence between variables has a block-wise structure. We propose a penalized likelihood estimation of the inverse covariance matrix, also called Graphical LASSO, applied to block averages of observations, and we derive its asymptotic properties. Monte Carlo experiments, comparing the properties of our estimator with those of the conventional Graphical LASSO, show that the proposed approach works well in the presence of block-wise dependence structure and that it is also robust to possible model misspecification. We conclude the paper with an empirical study on economic growth and convergence of 1,088 European small regions in the years 1980 to 2012. While requiring <i>a priori</i> information on the block structure – e.g. given by the hierarchical structure of data – our approach can be adopted for estimation and prediction using very large panel data sets. Also, it is particularly useful when there is a problem of missing values and outliers or when the focus of the analysis is on out-of-sample prediction.</p>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2016-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12078","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129917493","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Second-order refinement of empirical likelihood ratio tests of nonlinear restrictions 非线性约束的经验似然比检验的二阶改进
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2016-11-24 DOI: 10.1111/ectj.12079
Jun Ma
{"title":"Second-order refinement of empirical likelihood ratio tests of nonlinear restrictions","authors":"Jun Ma","doi":"10.1111/ectj.12079","DOIUrl":"10.1111/ectj.12079","url":null,"abstract":"<div>\u0000 \u0000 <p>In this paper, we investigate the second-order properties of empirical likelihood ratio (ELR) tests of general nonlinear parametric restrictions for over-identified moment restriction models. We derive the stochastic expansion of the ELR statistic for this very large class of testing problems and its formal distributional expansion. We show that we can improve the size properties of the ELR tests via either Bartlett correction or pseudo observation adjustment. Monte Carlo experiments show that tests based on these modified ELR statistics exhibit good finite-sample properties.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2016-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12079","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122496102","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Index to The Econometrics Journal Volume 19 计量经济学期刊第19卷索引
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2016-11-09 DOI: 10.1111/ectj.12076
{"title":"Index to The Econometrics Journal Volume 19","authors":"","doi":"10.1111/ectj.12076","DOIUrl":"https://doi.org/10.1111/ectj.12076","url":null,"abstract":"","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2016-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12076","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137503908","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Royal Economic Society Annual Conference 2013Special Issue on Econometrics of Heterogeneity 2013年英国皇家经济学会年会:异质性计量经济学专刊
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2016-11-09 DOI: 10.1111/ectj.12074
Richard J. Smith
{"title":"Royal Economic Society Annual Conference 2013Special Issue on Econometrics of Heterogeneity","authors":"Richard J. Smith","doi":"10.1111/ectj.12074","DOIUrl":"10.1111/ectj.12074","url":null,"abstract":"","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2016-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12074","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"62958678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Consistent tests for conditional treatment effects 条件治疗效果的一致性测试
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2016-11-01 DOI: 10.1111/ectj.12077
Yu-Chin Hsu
{"title":"Consistent tests for conditional treatment effects","authors":"Yu-Chin Hsu","doi":"10.1111/ectj.12077","DOIUrl":"10.1111/ectj.12077","url":null,"abstract":"<div>\u0000 \u0000 <p>We construct tests for the null hypothesis that the conditional average treatment effect is non-negative, conditional on every possible value of a subset of covariates. Testing such a null hypothesis can provide more information than the sign of the average treatment effects parameter. The null hypothesis can be characterized as infinitely many of unconditional moment inequalities. A Kolmogorov–Smirnov test is constructed based on these unconditional moment inequalities, and a simulated critical value is proposed. It is shown that our test can control the size uniformly over a broad set of data-generating processes asymptotically, that it is consistent against fixed alternatives and that it is unbiased against some local alternatives. Several extensions of our test are also considered and we apply our tests to examine the effect of a job-training programme on real earnings.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12077","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129807454","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 33
Change point tests in functional factor models with application to yield curves 功能因子模型的变点检验及其在产量曲线上的应用
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2016-10-10 DOI: 10.1111/ectj.12075
Patrick Bardsley, Lajos Horváth, Piotr Kokoszka, Gabriel Young
{"title":"Change point tests in functional factor models with application to yield curves","authors":"Patrick Bardsley,&nbsp;Lajos Horváth,&nbsp;Piotr Kokoszka,&nbsp;Gabriel Young","doi":"10.1111/ectj.12075","DOIUrl":"10.1111/ectj.12075","url":null,"abstract":"<div>\u0000 \u0000 <p>Motivated by the problem of the detection of a change point in the mean structure of yield curves, we introduce several methods to test the null hypothesis that the mean structure of a time series of curves does not change. The mean structure does not refer merely to the level of the curves, but also to their range and other aspects of their shape, most prominently concavity. The performance of the tests depends on whether possible break points in the error structure, which refers to the random variability in the aspects of the curves listed above, are taken into account or not. If they are not taken into account, then an existing change point in the mean structure may fail to be detected with a large probability. The paper contains a complete asymptotic theory, a simulation study and illustrative data examples, as well as details of the numerical implementation of the testing procedures.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2016-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12075","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122481930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Peer effects in bedtime decisions among adolescents: a social network model with sampled data 青少年就寝决定中的同伴效应:一个抽样数据的社会网络模型
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2016-09-19 DOI: 10.1111/ectj.12072
Xiaodong Liu, Eleonora Patacchini, Edoardo Rainone
{"title":"Peer effects in bedtime decisions among adolescents: a social network model with sampled data","authors":"Xiaodong Liu,&nbsp;Eleonora Patacchini,&nbsp;Edoardo Rainone","doi":"10.1111/ectj.12072","DOIUrl":"10.1111/ectj.12072","url":null,"abstract":"<div>\u0000 \u0000 <p>Using unique information on a representative sample of US teenagers, we investigate peer effects in adolescent bedtime decisions. We extend the nonlinear least-squares estimator for spatial autoregressive models to estimate network models with network fixed effects and sampled observations on the dependent variable. We show the extent to which neglecting the sampling issue yields misleading inferential results. When accounting for sampling, we find that, besides the individual, family and peer characteristics, the bedtime decisions of peers help to shape one's own bedtime decision.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2016-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12072","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"37171780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 25
A Review of Economic Forecasting 经济预测综述
IF 1.9 4区 经济学
Econometrics Journal Pub Date : 2016-09-19 DOI: 10.1111/ectj.12073
Barbara Rossi
{"title":"A Review of Economic Forecasting","authors":"Barbara Rossi","doi":"10.1111/ectj.12073","DOIUrl":"10.1111/ectj.12073","url":null,"abstract":"","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2016-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12073","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"62958615","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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