Testing for Exogeneity in Nonlinear Threshold Models PDF Download
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Languages : en
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Author:
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Languages : en
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Author: Daniele Massacci
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ISBN:
Category :
Languages : en
Pages : 0
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This papers proposes a variable addition test for exogeneity in threshold regression models with potentially endogenous right-hand-side variables. An accurate Monte Carlo study is undertaken and the results show the good finite sample properties of the suggested test.
Author: Katarzyna Bech
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
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This paper presents new approaches to testing for exogeneity in non-parametric models with discrete regressors and instruments. Our interest is in learning about an unknown structural (conditional mean) function. An interesting feature of these models is that under endogeneity the identifying power of a discrete instrument depends on the number of support points of the instruments relative to that of the regressors, a result driven by the discreteness of the variables. Observing that the simple nonparametric additive error model can be interpreted as a linear regression, we present two test-statistics. For the point identifying model, the test is an adapted version of the standard Wu-Hausman approach. This extends the work of Blundell and Horowitz (2007) to the case of discrete regressors and instruments. For the set identifying model, the Wu-Hausman approach is not available. In this case the test-statistic is derived from a constrained minimization problem. The asymptotic distributions of the test-statistics are derived under the null and fixed and local alternatives. The tests are shown to be consistent, and a simulation study reveals that the proposed tests have satisfactory finite-sample properties.
Author: Firmin Doko Tchatoka
Publisher:
ISBN:
Category :
Languages : en
Pages : 58
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Author: Raymond John O'Brien
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Category : Econometrics
Languages : en
Pages : 67
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Author: Mario P. Rothfelder
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Category :
Languages : en
Pages :
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Author: Neil R. Ericsson
Publisher:
ISBN: 9780198774044
Category : Business & Economics
Languages : en
Pages : 436
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Book Description
This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
Author: Niels Haldrup
Publisher: Oxford University Press, USA
ISBN: 0199679959
Category : Business & Economics
Languages : en
Pages : 393
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Book Description
A book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.
Author:
Publisher: Cambridge University Press
ISBN: 0521817706
Category :
Languages : en
Pages : 313
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Author: Mr.Markus Eberhardt
Publisher: International Monetary Fund
ISBN: 1484309715
Category : Business & Economics
Languages : en
Pages : 55
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Book Description
We study the long-run relationship between public debt and growth in a large panel of countries. Our analysis takes particular note of theoretical arguments and data considerations in modeling the debt-growth relationship as heterogeneous across countries. We investigate the issue of nonlinearities (debt thresholds) in both the cross-country and within-country dimensions, employing novel methods and diagnostics from the time-series literature adapted for use in the panel. We find some support for a nonlinear relationship between debt and long-run growth across countries, but no evidence for common debt thresholds within countries over time.
