Graphical Methods for Investigating the Size and Power of Hypothesis Tests

Citations

Cited by:

1. Günter Coenen, 2005. "Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models," Empirical Economics, Springer, vol. 30(1), pages 65-75, January.
   • Coenen, Günter, 2000. "Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models," Working Paper Series 0009, European Central Bank.
2. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," Working Papers halshs-00564897, HAL.
   • Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers halshs-00564897, HAL.
3. Steven Cook, 2001. "Asymmetric unit root tests in the presence of structural breaks under the null," Economics Bulletin, AccessEcon, vol. 3(6), pages 1-10.
4. Antonio Diez de los Rios & Enrique Sentana, 2011. "Testing Uncovered Interest Parity: A Continuous‐Time Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 1215-1251, November.
   • Sentana, Enrique & Diez de los Rios, Antonio, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," CEPR Discussion Papers 6516, C.E.P.R. Discussion Papers.
   • Antonio Diez de los Rios & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Staff Working Papers 07-53, Bank of Canada.
   • Antonio Diez de los Ríos & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Working Papers wp2007_0714, CEMFI.
5. Davidson, Russell & Flachaire, Emmanuel, 2007. "Asymptotic and bootstrap inference for inequality and poverty measures," Journal of Econometrics, Elsevier, vol. 141(1), pages 141-166, November.
   • Russell Davidson & Emmanuel Flachaire, 2004. "Asymptotic and bootstrap inference for inequality and poverty measures," Cahiers de la Maison des Sciences Economiques v04100, Université Panthéon-Sorbonne (Paris 1).
   • Russell Davidson & Emmanuel Flachaire, 2007. "Asymptotic and bootstrap inference for inequality and poverty measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175929, HAL.
   • Russell Davidson & Emmanuel Flachaire, 2006. "Asymptotic And Bootstrap Inference For Inequality And Poverty Measures," Departmental Working Papers 2005-06, McGill University, Department of Economics.
   • Russell Davidson & Emmanuel Flachaire, 2007. "Asymptotic and bootstrap inference for inequality and poverty measures," Post-Print halshs-00175929, HAL.
6. Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series 479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
   • Niguez, Trino-Manuel & Perote, Javier, 2004. "Forecasting the density of asset returns," LSE Research Online Documents on Economics 6845, London School of Economics and Political Science, LSE Library.
7. Panayiotis C. Andreou & Christodoulos Louca & Christos S. Savva, 2016. "Short-horizon event study estimation with a STAR model and real contaminated events," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 673-697, October.
8. D. Aristei & Luca Pieroni, 2008. "Cointegration Rank Test and Long Run Specification: A Note on the Robustness of Structural Demand Systems," Working Papers 0809, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
9. Davidson, Russell & MacKinnon, James G., 2002. "Bootstrap J tests of nonnested linear regression models," Journal of Econometrics, Elsevier, vol. 109(1), pages 167-193, July.
   • Davidson, R. & Mackinnon, J. G., 1995. "Bootstrap Tests of Nonnested Linear Regression Models," G.R.E.Q.A.M. 97a25, Universite Aix-Marseille III.
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   • Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Tests of Nonnested Linear Regression Models," ASSET - Instituto De Economia Publica 170, ASSET (Association of Southern European Economic Theorists).
10. Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September.
    • Davidson, R. & Flachaire, E., 1999. "The Wild Bootstrap, Tamed at Last," G.R.E.Q.A.M. 99a32, Universite Aix-Marseille III.
    • Emmanuel Flachaire & Russell Davidson, 2001. "The Wild Bootstrap, Tamed At Last," Working Paper 1000, Economics Department, Queen's University.
    • Russell Davidson & Emmanuel Flachaire, 2008. "The wild bootstrap, tamed at last," Post-Print hal-00649250, HAL.
    • Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," STICERD - Distributional Analysis Research Programme Papers 58, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    • Davidson, Russell & Flachaire, Emmanuel, 2001. "The wild bootstrap, tamed at last," LSE Research Online Documents on Economics 6560, London School of Economics and Political Science, LSE Library.
    • Russell Davidson & Emmanuel Flachaire, 2000. "The Wild Bootstrap, Tamed at Last," Econometric Society World Congress 2000 Contributed Papers 1413, Econometric Society.
11. Antonis Demos & George Vasillelis, 2007. "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 97-122, March-Jun.
12. Egger, Peter & Larch, Mario & Pfaffermayr, Michael & Walde, Janette, 2009. "Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors," Regional Science and Urban Economics, Elsevier, vol. 39(6), pages 670-678, November.
    • Peter Egger & Mario Larch & Michael Pfaffermayr & Janette Walde, 2005. "Small Sample Properties of Maximum Likelihood Versus Generalized Method of Moments Based Tests for Spatially Autocorrelated Errors," CESifo Working Paper Series 1558, CESifo.
13. Anselin, Luc & Moreno, Rosina, 2003. "Properties of tests for spatial error components," Regional Science and Urban Economics, Elsevier, vol. 33(5), pages 595-618, September.
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14. Cristina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," NIPE Working Papers 03/2008, NIPE - Universidade do Minho.
    • Christina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers 2008-08, Department of Economics and Business Economics, Aarhus University.
    • Amado, Cristina & Teräsvirta, Timo, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," SSE/EFI Working Paper Series in Economics and Finance 691, Stockholm School of Economics.
15. J. Vilar-Fernández & J. Vilar-Fernández & W. González-Manteiga, 2007. "Bootstrap tests for nonparametric comparison of regression curves with dependent errors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 16(1), pages 123-144, May.
16. Geert Dhaene & J. M. C. Santos Silva, 2012. "Specification and testing of models estimated by quadrature," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(2), pages 322-332, March.
    • Dhaene, Geert & Santos Silva, Joao M C, 2008. "Specification and Testing of Models Estimated by Quadrature," Economics Discussion Papers 3549, University of Essex, Department of Economics.
17. Otsu, Taisuke & Xu, Ke-Li & Matsushita, Yukitoshi, 2015. "Empirical likelihood for regression discontinuity design," Journal of Econometrics, Elsevier, vol. 186(1), pages 94-112.
    • Taisuke Otsu & Ke-Li Xu, 2011. "Empirical Likelihood for Regression Discontinuity Design," Cowles Foundation Discussion Papers 1799, Cowles Foundation for Research in Economics, Yale University.
    • Otsu, Taisuke & Xu, Ke-Li & Matsushita, Yukitoshi, 2015. "Empirical likelihood for regression discontinuity design," LSE Research Online Documents on Economics 58513, London School of Economics and Political Science, LSE Library.
    • Otsu, Taisuke & Matsushita, Yukitoshi & Xu, Ke-Li, 2014. "Empirical likelihood for regression discontinuity design," LSE Research Online Documents on Economics 58065, London School of Economics and Political Science, LSE Library.
    • Yukitoshi Matsushita & Taisuke Otsu & Ke-Li Xu, 2014. "Empirical Likelihood for Regression Discontinuity Design," STICERD - Econometrics Paper Series 573, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
18. Rothfelder, Mario & Boldea, Otilia, 2016. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2016-029, Tilburg University, Center for Economic Research.
    • Mario P. Rothfelder & Otilia Boldea, 2022. "Testing for a Threshold in Models with Endogenous Regressors," Papers 2207.10076, arXiv.org.
    • Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 94a7c921-f27f-43a0-82f4-4, Tilburg University, School of Economics and Management.
    • Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2019-030, Tilburg University, Center for Economic Research.
    • Rothfelder, Mario & Boldea, Otilia, 2016. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 40ca581a-e228-49ae-911f-e, Tilburg University, School of Economics and Management.
19. Crudu, Federico & Mellace, Giovanni & Sándor, Zsolt, 2021. "Inference In Instrumental Variable Models With Heteroskedasticity And Many Instruments," Econometric Theory, Cambridge University Press, vol. 37(2), pages 281-310, April.
    • Federico Crudu & Giovanni Mellace & Zsolt Sandor, 2017. "Inference in instrumental variables models with heteroskedasticity and many instruments," Department of Economics University of Siena 761, Department of Economics, University of Siena.
    • Federico Crudu & Giovanni Mellace & Zsolt Sándor, 2020. "Inference in instrumental variables models with heteroskedasticity and many instruments," Department of Economics University of Siena 821, Department of Economics, University of Siena.
20. Taisuke Otsu & Ke-Li Xu & Yukitoshi Matsushita, 2013. "Estimation and Inference of Discontinuity in Density," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 507-524, October.
    • Otsu, Taisuke & Xu, Ke-Li & Matsushita, Yukitoshi, 2013. "Estimation and inference of discontinuity in density," LSE Research Online Documents on Economics 85878, London School of Economics and Political Science, LSE Library.
21. Russell Davidson & Jean-Yves Duclos, 2013. "Testing for Restricted Stochastic Dominance," Econometric Reviews, Taylor & Francis Journals, vol. 32(1), pages 84-125, January.
    • Russell Davidson & Jean-Yves Duclos, 2006. "Testing For Restricted Stochastic Dominance," Departmental Working Papers 2006-20, McGill University, Department of Economics.
    • Russell Davidson & Jean-Yves Duclos, 2009. "Testing for restricted stochastic dominance," Working Papers halshs-00443560, HAL.
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    • Davidson, Russell & Duclos, Jean-Yves, 2006. "Testing for Restricted Stochastic Dominance," IZA Discussion Papers 2047, Institute of Labor Economics (IZA).
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22. Emanuele BACCHIOCCHI, 2011. "Identification through heteroskedasticity: a likelihood-based approach," Departmental Working Papers 2011-19, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
23. Ibrahim Ahamada & Mohamed Boutahar, 2010. "The power of some standard tests of stationarity against changes in the unconditional variance," Post-Print halshs-00476024, HAL.
24. Blake, Andrew P. & Kapetanios, George, 2000. "A radial basis function artificial neural network test for ARCH," Economics Letters, Elsevier, vol. 69(1), pages 15-23, October.
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25. Changli He & Timo Terasvirta & Andres Gonzalez, 2009. "Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 225-245.
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26. de Peretti Christian & Siani Carole, 2004. "Neural Tests for Conditional Heteroskedasticity in ARCH-M Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(3), pages 1-24, September.
27. Davidson, Russell & MacKinnon, James G., 2006. "The power of bootstrap and asymptotic tests," Journal of Econometrics, Elsevier, vol. 133(2), pages 421-441, August.
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28. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
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29. Christian Peretti, 2007. "Long Memory and Hysteresis," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 363-389, Springer.
30. Russell Davidson & James G. MacKinnon, 2015. "Bootstrap Tests for Overidentification in Linear Regression Models," Econometrics, MDPI, vol. 3(4), pages 1-39, December.
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31. Péguin-Feissolle, Anne & Strikholm, Birgit & Teräsvirta, Timo, 2007. "Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form," SSE/EFI Working Paper Series in Economics and Finance 672, Stockholm School of Economics, revised 18 Jan 2012.
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32. Chiu, Sung Nok & Liu, Kwong Ip, 2009. "Generalized Cramér-von Mises goodness-of-fit tests for multivariate distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(11), pages 3817-3834, September.
33. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles, 2003. "Rescaled variance and related tests for long memory in volatility and levels," Journal of Econometrics, Elsevier, vol. 112(2), pages 265-294, February.
34. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 55-68.
    • James G. MacKinnon & Russell Davidson, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Paper 1036, Economics Department, Queen's University.
35. Emanuele BACCHIOCCHI & Andrea BASTIANIN & Alessandro MISSALE & Eduardo ROSSI, 2016. "Structural Analysis With Mixed Frequency: Monetary Policy, Uncertainty And Gross Capital Flows," Departmental Working Papers 2016-11, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
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36. Flachaire, Emmanuel, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 361-376, April.
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37. Taşpınar, Süleyman & Doğan, Osman & Bera, Anil K., 2017. "GMM gradient tests for spatial dynamic panel data models," Regional Science and Urban Economics, Elsevier, vol. 65(C), pages 65-88.
38. de Peretti, Christian & Siani, Carole, 2010. "Graphical methods for investigating the finite-sample properties of confidence regions," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 262-271, February.
39. Daniel Arribas-Bel & Julia Koschinsky & Pedro Amaral, 2012. "Improving the multi-dimensional comparison of simulation results: a spatial visualization approach," Letters in Spatial and Resource Sciences, Springer, vol. 5(2), pages 55-63, July.
40. Peguin-Feissolle, Anne, 1999. "A comparison of the power of some tests for conditional heteroscedasticity," Economics Letters, Elsevier, vol. 63(1), pages 5-17, April.
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41. Mario Cerrato & Christian De Peretti & Nick Sarantis, 2007. "A nonlinear panel unit root test under cross section dependence," Documents de recherche 07-12, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
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42. Wanling Huang & Artem Prokhorov, 2014. "A Goodness-of-fit Test for Copulas," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 751-771, October.
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43. Kirman Alan & Teyssière Gilles, 2002. "Microeconomic Models for Long Memory in the Volatility of Financial Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(4), pages 1-23, January.
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44. Davidson, Russell, 2017. "A discrete model for bootstrap iteration," Journal of Econometrics, Elsevier, vol. 201(2), pages 228-236.
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45. Hodgson, Douglas J & Vorkink, Keith P, 2003. "Efficient Estimation of Conditional Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
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46. Siani, Carole & de Peretti, Christian, 2007. "Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2442-2460, February.
47. Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
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48. Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
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49. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
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50. Panagiotis Mantalos, 2017. "Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1274282-127, January.
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51. Marcelo C. Medeiros & Alvaro Veiga, 2003. "Diagnostic Checking in a Flexible Nonlinear Time Series Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 461-482, July.
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52. Ibrahim Ahamada & Philippe Jolivaldt, 2008. "Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments," Post-Print halshs-00275767, HAL.
53. Christian de Peretti, 2003. "Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 187-212, October.
54. Klein, Torsten L., 2014. "The small multiple in econometrics – a redesign," MPRA Paper 60521, University Library of Munich, Germany.
55. Torben Klarl, 2014. "Is Spatial Bootstrapping A Panacea For Valid Inference?," Journal of Regional Science, Wiley Blackwell, vol. 54(2), pages 304-312, March.
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56. Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
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    • Gabriele Fiorentini & Enrique Sentana Iváñez, 1997. "Identification, estimation and testing of conditionally heteroskedastic factor models," Working Papers. Serie AD 1997-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
57. Dogan, Osman & Taspinar, Suleyman & Bera, Anil K., 2017. "Simple Tests for Social Interaction Models with Network Structures," MPRA Paper 82828, University Library of Munich, Germany.
58. Mauro Costantini & Claudio Lupi, 2013. "A Simple Panel-CADF Test for Unit Roots," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(2), pages 276-296, April.
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59. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(4), pages 535-572, November.
60. Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
    • Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639, December.
    • Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series 398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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