IDEAS home Printed from https://ideas.repec.org/p/cam/camdae/1880.html
   My bibliography  Save this paper

The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses

Author

Listed:
  • Linton, O.
  • Whang, Y-J.
  • Yen, Y.

Abstract

We provide an estimator of the lower regression function and provide large sample properties for inference. We also propose a test of the hypothesis of positive expectation dependence and derive its limiting distribution under the null hypothesis and provide consistent critical values. We apply our methodology to several empirical questions.

Suggested Citation

  • Linton, O. & Whang, Y-J. & Yen, Y., 2018. "The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses," Cambridge Working Papers in Economics 1880, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:1880
    Note: obl20
    as

    Download full text from publisher

    File URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1880.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Thomas Herndon & Michael Ash & Robert Pollin, 2014. "Does high public debt consistently stifle economic growth? A critique of Reinhart and Rogoff," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 38(2), pages 257-279.
    2. Carmen M. Reinhart & Kenneth S. Rogoff, 2010. "Growth in a Time of Debt," American Economic Review, American Economic Association, vol. 100(2), pages 573-578, May.
    3. Levy, Haim & Paroush, Jacob, 1974. "Toward multivariate efficiency criteria," Journal of Economic Theory, Elsevier, vol. 7(2), pages 129-142, February.
    4. O. Scaillet, 2004. "Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 115-129, January.
    5. Delgado, Miguel A., 1993. "Testing the equality of nonparametric regression curves," Statistics & Probability Letters, Elsevier, vol. 17(3), pages 199-204, June.
    6. Li, Jingyuan, 2011. "The demand for a risky asset in the presence of a background risk," Journal of Economic Theory, Elsevier, vol. 146(1), pages 372-391, January.
    7. Juan Carlos Escanciano & Javier Hualde, 2009. "Persistence In Nonlinear Time Series: A Nonparametric Approach," Caepr Working Papers 2009-003, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    8. Juan Carlos Escanciano & Javier Hualde, 2009. "Persistence In Nonlinear Time Series: A Nonparametric Approach," CAEPR Working Papers 2009-003, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    9. Lasse Heje Pedersen, 2015. "Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined," Economics Books, Princeton University Press, edition 1, number 10441.
    10. Linton, Oliver & Xiao, Zhijie, 2013. "Estimation Of And Inference About The Expected Shortfall For Time Series With Infinite Variance," Econometric Theory, Cambridge University Press, vol. 29(4), pages 771-807, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Denuit, Michel & Trufin, Julien & Verdebout, Thomas, 2021. "Testing for more positive expectation dependence with application to model comparison," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 163-172.
    2. Denuit, Michel & Trufin, Julien & Verdebout, Thomas, 2021. "Testing for more positive expectation dependence with application to model comparison," LIDAM Discussion Papers ISBA 2021021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Roberto Martino & Phu Nguyen-Van, 2014. "Labour market regulation and fiscal parameters: A structural model for European regions," Working Papers of BETA 2014-19, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    2. Janice Boucher Breuer & John McDermott, 2019. "Debt And Depression," Contemporary Economic Policy, Western Economic Association International, vol. 37(4), pages 714-730, October.
    3. Magdalena Osińska & Tadeusz Kufel & Marcin Błażejowski & Paweł Kufel, 2020. "Modeling mechanism of economic growth using threshold autoregression models," Empirical Economics, Springer, vol. 58(3), pages 1381-1430, March.
    4. Guerini, Mattia & Moneta, Alessio & Napoletano, Mauro & Roventini, Andrea, 2020. "The Janus-Faced Nature Of Debt: Results From A Data-Driven Cointegrated Svar Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 24(1), pages 24-54, January.
    5. Dias, Daniel A. & Richmond, Christine & Wright, Mark L.J., 2014. "The stock of external sovereign debt: Can we take the data at ‘face value’?," Journal of International Economics, Elsevier, vol. 94(1), pages 1-17.
    6. Gärtner, Manfred & Griesbach, Björn & Mennillo, Giulia, 2013. "The near-death experience of the Celtic Tiger: a model-driven narrative from the European sovereign debt crisis," Economics Working Paper Series 1321, University of St. Gallen, School of Economics and Political Science.
    7. Mitze, Timo & Matz, Florian, 2015. "Public debt and growth in German federal states: What can Europe learn?," Journal of Policy Modeling, Elsevier, vol. 37(2), pages 208-228.
    8. Yun Jung Kim & Jing Zhang, 2021. "The Relationship Between Debt and Output," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 69(1), pages 230-257, March.
    9. Yannis Dafermos, 2015. "The ‘other half’ of the public debt–economic growth relationship: a note on Reinhart and Rogoff," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 12(1), pages 20-28, April.
    10. Balázs Égert, 2015. "Public debt, economic growth and nonlinear effects: Myth or reality?," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 226-238.
    11. De Vita, Glauco & Trachanas, Emmanouil & Luo, Yun, 2018. "Revisiting the bi-directional causality between debt and growth: Evidence from linear and nonlinear tests," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 55-74.
    12. Frederick Solt, 2015. "On the assessment and use of cross-national income inequality datasets," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 13(4), pages 683-691, December.
    13. Solomon Sorin & Golo Natasa, 2013. "Minsky Financial Instability, Interscale Feedback, Percolation and Marshall–Walras Disequilibrium," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 3(3), pages 167-260, October.
    14. Bitar, Nicholas & Chakrabarti, Avik & Zeaiter, Hussein, 2018. "Were Reinhart and Rogoff right?," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 614-620.
    15. Ben Ltaief, Leila, 2014. "Dette publique et croissance économique : investigation empirique pour la zone euro, l’Union européenne et les pays avancés," L'Actualité Economique, Société Canadienne de Science Economique, vol. 90(2), pages 79-103, Juin.
    16. McQuinn, Kieran & O'Toole, Conor & Wendy Disch & Coffey, Cathal, 2021. "Quarterly Economic Commentary, Autumn 2021," Forecasting Report, Economic and Social Research Institute (ESRI), number QEC2021AUT, June.
    17. Giovanni Dosi & Mauro Napoletano & Andrea Roventini & Tania Treibich, 2016. "The Short- and Long-Run Damages of Fiscal Austerity: Keynes beyond Schumpeter," International Economic Association Series, in: Joseph E. Stiglitz & Martin Guzman (ed.), Contemporary Issues in Macroeconomics, chapter 8, pages 79-100, Palgrave Macmillan.
    18. Nick Huntington‐Klein & Andreu Arenas & Emily Beam & Marco Bertoni & Jeffrey R. Bloem & Pralhad Burli & Naibin Chen & Paul Grieco & Godwin Ekpe & Todd Pugatch & Martin Saavedra & Yaniv Stopnitzky, 2021. "The influence of hidden researcher decisions in applied microeconomics," Economic Inquiry, Western Economic Association International, vol. 59(3), pages 944-960, July.
    19. Gebhard Kirchgässner, 2017. "The debt brake of the German states: a faulty design?," Constitutional Political Economy, Springer, vol. 28(3), pages 257-269, September.
    20. Nicolas Clootens & Francesco Magris, 2024. "Nonrenewable resource use sustainability and public debt," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 26(1), February.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cam:camdae:1880. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jake Dyer (email available below). General contact details of provider: https://www.econ.cam.ac.uk/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.