Econometrics Journal最新文献_第8页

A class of indirect inference estimators: higher-order asymptotics and approximate bias correction 一类间接推理估计量:高阶渐近和近似偏差校正

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2015-01-20 DOI: 10.1111/ectj.12045

Stelios Arvanitis, Antonis Demos

引用次数: 6

Specification testing in nonstationary time series models 非平稳时间序列模型的规格检验

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2015-01-20 DOI: 10.1111/ectj.12044

Jia Chen, Jiti Gao, Degui Li, Zhengyan Lin

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引用次数: 5

On bootstrap validity for specification tests with weak instruments 弱仪器规格测试的自举有效性研究

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2014-12-04 DOI: 10.1111/ectj.12042

Firmin Doko Tchatoka

{"title":"On bootstrap validity for specification tests with weak instruments","authors":"Firmin Doko Tchatoka","doi":"10.1111/ectj.12042","DOIUrl":"10.1111/ectj.12042","url":null,"abstract":"<div>\u0000 \u0000 <p>We study the asymptotic validity of the bootstrap for Durbin–Wu–Hausman tests of exogeneity, with or without identification. We provide an analysis of the limiting distributions of the proposed bootstrap statistics under both the null hypothesis of exogeneity (size) and the alternative hypothesis of endogeneity (power). We show that when identification is strong, the bootstrap provides a high-order approximation of the null limiting distributions of the statistics and is consistent under the alternative hypothesis if the endogeneity parameter is fixed. However, the bootstrap only provides a first-order approximation when instruments are weak. Moreover, we provide the necessary and sufficient condition under which the proposed bootstrap tests exhibit power under (fixed) endogeneity and weak instruments. The latter condition may still hold over a wide range of cases as long as at least one instrument is relevant. Nevertheless, all bootstrap tests have low power when all instruments are irrelevant, a case of little interest in empirical work. We present a Monte Carlo experiment that confirms our theoretical findings.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"18 1","pages":"137-146"},"PeriodicalIF":1.9,"publicationDate":"2014-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12042","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"95568450","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

Robust hypothesis tests for M-estimators with possibly non-differentiable estimating functions 估计函数可能不可微的m估计量的鲁棒假设检验

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2014-12-03 DOI: 10.1111/ectj.12041

Wei-Ming Lee, Yu-Chin Hsu, Chung-Ming Kuan

引用次数: 1

Specification tests for nonlinear dynamic models 非线性动态模型规范试验

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2014-11-04 DOI: 10.1111/ectj.12040

Igor L. Kheifets

{"title":"Specification tests for nonlinear dynamic models","authors":"Igor L. Kheifets","doi":"10.1111/ectj.12040","DOIUrl":"10.1111/ectj.12040","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any set-up where parametric conditional distribution of the data is specified and, in particular, to models involving conditional volatility, conditional higher moments, conditional quantiles, asymmetry, Value at Risk models, duration models, diffusion models, etc. Compared to other tests, the new test properly controls the nonlinear dynamic behaviour in conditional distribution and does not rely on smoothing techniques that require a choice of several tuning parameters. The test is based on a new kind of multivariate empirical process of contemporaneous and lagged probability integral transforms. We establish weak convergence of the process under parameter uncertainty and local alternatives. We justify a parametric bootstrap approximation that accounts for parameter estimation effects often ignored in practice. Monte Carlo experiments show that the test has good finite-sample size and power properties. Using the new test and graphical tools, we check the adequacy of various popular heteroscedastic models for stock exchange index data.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"18 1","pages":"67-94"},"PeriodicalIF":1.9,"publicationDate":"2014-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12040","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116263148","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

Identification and estimation of partially linear censored regression models with unknown heteroscedasticity 未知异方差部分线性截尾回归模型的辨识与估计

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2014-10-16 DOI: 10.1111/ectj.12037

Zhengyu Zhang, Bing Liu

引用次数: 0

First-differencing in panel data models with incidental functions 具有附带函数的面板数据模型中的首次差分

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2014-08-03 DOI: 10.1111/ectj.12035

Koen Jochmans

{"title":"First-differencing in panel data models with incidental functions","authors":"Koen Jochmans","doi":"10.1111/ectj.12035","DOIUrl":"https://doi.org/10.1111/ectj.12035","url":null,"abstract":"<div>\u0000 \u0000 <p>This note discusses a class of models for panel data that accommodate between-group heterogeneity that is allowed to exhibit positive within-group variance. Such a set-up generalizes the traditional fixed-effect paradigm in which between-group heterogeneity is limited to univariate factors that act like constants within groups. Notable members of the class of models considered are non-linear regression models with additive heterogeneity and multiplicative-error models suitable for non-negative limited dependent variables. The heterogeneity is modelled as a non-parametric nuisance function of covariates whose functional form is fixed within groups but is allowed to vary freely across groups. A simple approach to perform inference in such situations is based on local first-differencing of observations within a given group. This leads to moment conditions that, asymptotically, are free of nuisance functions. Conventional generalized method of moments procedures can then be readily applied. In particular, under suitable regularity conditions, such estimators are consistent and asymptotically normal, and asymptotically valid inference can be performed using a plug-in estimator of the asymptotic variance.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"17 3","pages":"373-382"},"PeriodicalIF":1.9,"publicationDate":"2014-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12035","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71930924","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

Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz 计量经济学中稳健和灵活推理的进展:纪念Joel L. Horowitz的特刊

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2014-06-04 DOI: 10.1111/ectj.12032

Xiaohong Chen, Sokbae Lee, Oliver Linton, Elie Tamer

引用次数: 2

Maximum score estimation with nonparametrically generated regressors 非框架回归的最大得分估计

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2014-05-22 DOI: 10.1111/ectj.12034

Le-Yu Chen, Sokbae Lee, Myung Jae Sung

引用次数: 10

A social interaction model with an extreme order statistic 一个具有极值阶统计量的社会互动模型