Directionally Differentiable Econometric Models
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- Jin Seo Cho & Halbert White, 2017. "Directionally Differentiable Econometric Models," Working papers 2017rwp-103, Yonsei University, Yonsei Economics Research Institute.
References listed on IDEAS
- Cho, Jin Seo & White, Halbert, 2010.
"Testing for unobserved heterogeneity in exponential and Weibull duration models,"
Journal of Econometrics, Elsevier, vol. 157(2), pages 458-480, August.
- Jin Seo Cho & Halbert White, 2009. "Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models," Discussion Paper Series 0912, Institute of Economic Research, Korea University.
- King, Maxwell L & Shively, Thomas S, 1993. "Locally Optimal Testing When a Nuisance Parameter Is Present Only under the Alternative," The Review of Economics and Statistics, MIT Press, vol. 75(1), pages 1-7, February.
- Jin Seo Cho & Halbert White, 2017. "Supplements to "Directionally Differentiable Econometric Models"," Working papers 2017rwp-103a, Yonsei University, Yonsei Economics Research Institute.
- Andrews, Donald W K, 2001.
"Testing When a Parameter Is on the Boundary of the Maintained Hypothesis,"
Econometrica, Econometric Society, vol. 69(3), pages 683-734, May.
- Donald W.K. Andrews, 1999. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Cowles Foundation Discussion Papers 1229, Cowles Foundation for Research in Economics, Yale University.
- Cho, Jin Seo & White, Halbert, 2011.
"Generalized runs tests for the IID hypothesis,"
Journal of Econometrics, Elsevier, vol. 162(2), pages 326-344, June.
- Jin Seo Cho & Halbert White, 2009. "Generalized Runs Test for the IID Hypothesis," Discussion Paper Series 0913, Institute of Economic Research, Korea University.
- Jin Seo Cho & Isao Ishida & Halbert White, 2013. "Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions (published in: Essays in Nonlinear Time Series Econometrics, Festschrift in Honor of Timo Teras," Working papers 2013rwp-55, Yonsei University, Yonsei Economics Research Institute.
- Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015.
"Testing linearity using power transforms of regressors,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
- Yae In Baek & Jin Seo Cho & Peter C.B. Phillips, 2013. "Testing Linearity Using Power Transforms of Regressors," Cowles Foundation Discussion Papers 1917, Cowles Foundation for Research in Economics, Yale University.
- YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS, 2015. "Testing Linearity Using Power Transforms of Regressors," Working papers 2015rwp-79, Yonsei University, Yonsei Economics Research Institute.
- Wooldridge, Jeffrey M. & White, Halbert, 1988. "Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 4(2), pages 210-230, August.
- Jin Seo Cho & Halbert White, 2007. "Testing for Regime Switching," Econometrica, Econometric Society, vol. 75(6), pages 1671-1720, November.
- Stevenson, Rodney E., 1980. "Likelihood functions for generalized stochastic frontier estimation," Journal of Econometrics, Elsevier, vol. 13(1), pages 57-66, May.
- Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
- Cho, Jin Seo & Ishida, Isao, 2012. "Testing for the effects of omitted power transformations," Economics Letters, Elsevier, vol. 117(1), pages 287-290.
- Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July.
Citations
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Cited by:
- Michael Jansson & Demian Pouzo, 2017.
"Towards a General Large Sample Theory for Regularized Estimators,"
Papers
1712.07248, arXiv.org, revised Jul 2020.
- Michael Jansson & Demian Pouzo, 2019. "Towards a general large sample theory for regularized estimators," CeMMAP working papers CWP63/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jin Seo Cho & Halbert White, 2017. "Supplements to "Directionally Differentiable Econometric Models"," Working papers 2017rwp-103a, Yonsei University, Yonsei Economics Research Institute.
- Dakyung Seong & Jin Seo Cho & Timo Terasvirta, 2019.
"Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model,"
Working papers
2019rwp-151, Yonsei University, Yonsei Economics Research Institute.
- Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019. "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers 2019-17, Department of Economics and Business Economics, Aarhus University.
- Sergio Firpo & Antonio F. Galvao & Thomas Parker, 2019. "Uniform inference for value functions," Papers 1911.10215, arXiv.org, revised Oct 2022.
- Firpo, Sergio & Galvao, Antonio F. & Kobus, Martyna & Parker, Thomas & Rosa-Dias, Pedro, 2020.
"Loss Aversion and the Welfare Ranking of Policy Interventions,"
IZA Discussion Papers
13176, Institute of Labor Economics (IZA).
- Sergio Firpo & Antonio F. Galvao & Martyna Kobus & Thomas Parker & Pedro Rosa-Dias, 2020. "Loss aversion and the welfare ranking of policy interventions," Papers 2004.08468, arXiv.org, revised Aug 2021.
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More about this item
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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