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Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter

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  • Campbell, B.
  • Dufour, J.M.

Abstract

In this paper, finite-sample nonparametric tests of conditional independence and random walk are extended to allow for an unknown drift parameter. The tests proposed are based on simultaneous inference methods and remain exact in the presence of general forms of feedback, nonnormality and heterskedasticity. Further, in two simulation studies, the authors confirm that the nonparametric procedures are reliable and find that they display power comparable or superior to that of conventional tests. Copyright 1997 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Campbell, B. & Dufour, J.M., 1994. "Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter," Cahiers de recherche 9407, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  • Handle: RePEc:mtl:montec:9407
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    References listed on IDEAS

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    1. DiNardo, John & Fortin, Nicole M & Lemieux, Thomas, 1996. "Labor Market Institutions and the Distribution of Wages, 1973-1992: A Semiparametric Approach," Econometrica, Econometric Society, vol. 64(5), pages 1001-1044, September.
    2. Richard B. Freeman & Karen Needels, 1993. "Skill Differentials in Canada in an Era of Rising Labor Market Inequality," NBER Chapters,in: Small Differences That Matter: Labor Markets and Income Maintenance in Canada and the United States, pages 45-68 National Bureau of Economic Research, Inc.
    3. S. Rosen, 1969. "Trade Union Power, Threat Effects and the Extent of Organization," Review of Economic Studies, Oxford University Press, vol. 36(2), pages 185-196.
    4. John M. Abowd & Henry S. Farber, 1982. "Job Queues and the Union Status of Workers," ILR Review, Cornell University, ILR School, vol. 35(3), pages 354-367, April.
    5. Juhn, Chinhui & Murphy, Kevin M & Pierce, Brooks, 1993. "Wage Inequality and the Rise in Returns to Skill," Journal of Political Economy, University of Chicago Press, vol. 101(3), pages 410-442, June.
    6. Katz, Lawrence F. & Revenga, Ana L., 1989. "Changes in the structure of wages: The United States vs Japan," Journal of the Japanese and International Economies, Elsevier, vol. 3(4), pages 522-553, December.
    7. Richard B. Freeman & Casey Ichniowski & Jeffrey Zax, 1988. "Appendix A: Collective Organization of Labor in the Public Sector," NBER Chapters,in: When Public Sector Workers Unionize, pages 365-398 National Bureau of Economic Research, Inc.
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    ECONOMETRICS;

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