Matches in SemOpenAlex for { <https://semopenalex.org/work/W2287710858> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W2287710858 abstract "We propose a new approach to constructing robust hypothesis tests based on general M-estimators with possibly non-differentiable estimating functions. The proposed test employs a random normalizing matrix computed using only recursive M-estimators to eliminate the nuisance parameters arising from the asymptotic covariance matrix and hence does not require consistent estimation of any nuisance parameters, in contrast with the conventional HAC-type test and the KVB-type test of Kiefer, Vogelsang, and Bunzel (2000, Econometrica). We also demonstrate that the proposed test reduces to the KVB-type test in simple location models (with OLS estimation). The error in rejection probability of the proposed test in a Gaussian location model is thus Op((log T)/T), where T is the sample size. As examples, we consider robust testing in GMM, quantile regression (QR), and censored regression models. We find that the proposed test is free from any user-chosen parameters for these models, yet the HAC-type test as well as the KVB-type test with optimal GMM, QR, and censored LAD estimators would require nonparametric kernel estimation and hence depends on user-chosen parameters. Our simulations show that the proposed test dominates both the HAC- and KVB-type tests in terms of finite sample size and has power advantage when the latter tests are computed using inappropriate user-chosen parameters." @default.
- W2287710858 created "2016-06-24" @default.
- W2287710858 creator A5039111664 @default.
- W2287710858 date "2008-01-01" @default.
- W2287710858 modified "2023-09-25" @default.
- W2287710858 title "Robust Tests of Hypotheses in Models with M-Estimation" @default.
- W2287710858 cites W1487848695 @default.
- W2287710858 cites W1527198825 @default.
- W2287710858 cites W1965068648 @default.
- W2287710858 cites W1973083259 @default.
- W2287710858 cites W1983919529 @default.
- W2287710858 cites W1984570338 @default.
- W2287710858 cites W1995853849 @default.
- W2287710858 cites W1998964122 @default.
- W2287710858 cites W2010670304 @default.
- W2287710858 cites W2017759426 @default.
- W2287710858 cites W2028995298 @default.
- W2287710858 cites W2029067008 @default.
- W2287710858 cites W2042590947 @default.
- W2287710858 cites W2049705023 @default.
- W2287710858 cites W2051968669 @default.
- W2287710858 cites W2059053591 @default.
- W2287710858 cites W2065180335 @default.
- W2287710858 cites W2069308522 @default.
- W2287710858 cites W2099756352 @default.
- W2287710858 cites W2100931942 @default.
- W2287710858 cites W2129905273 @default.
- W2287710858 cites W2139255721 @default.
- W2287710858 cites W2163899311 @default.
- W2287710858 cites W2171989894 @default.
- W2287710858 cites W2466564333 @default.
- W2287710858 doi "https://doi.org/10.2139/ssrn.1806810" @default.
- W2287710858 hasPublicationYear "2008" @default.
- W2287710858 type Work @default.
- W2287710858 sameAs 2287710858 @default.
- W2287710858 citedByCount "2" @default.
- W2287710858 countsByYear W22877108582013 @default.
- W2287710858 crossrefType "journal-article" @default.
- W2287710858 hasAuthorship W2287710858A5039111664 @default.
- W2287710858 hasConcept C102366305 @default.
- W2287710858 hasConcept C105795698 @default.
- W2287710858 hasConcept C118671147 @default.
- W2287710858 hasConcept C129848803 @default.
- W2287710858 hasConcept C185142706 @default.
- W2287710858 hasConcept C185429906 @default.
- W2287710858 hasConcept C194531419 @default.
- W2287710858 hasConcept C28826006 @default.
- W2287710858 hasConcept C33923547 @default.
- W2287710858 hasConcept C40696583 @default.
- W2287710858 hasConcept C97379794 @default.
- W2287710858 hasConceptScore W2287710858C102366305 @default.
- W2287710858 hasConceptScore W2287710858C105795698 @default.
- W2287710858 hasConceptScore W2287710858C118671147 @default.
- W2287710858 hasConceptScore W2287710858C129848803 @default.
- W2287710858 hasConceptScore W2287710858C185142706 @default.
- W2287710858 hasConceptScore W2287710858C185429906 @default.
- W2287710858 hasConceptScore W2287710858C194531419 @default.
- W2287710858 hasConceptScore W2287710858C28826006 @default.
- W2287710858 hasConceptScore W2287710858C33923547 @default.
- W2287710858 hasConceptScore W2287710858C40696583 @default.
- W2287710858 hasConceptScore W2287710858C97379794 @default.
- W2287710858 hasLocation W22877108581 @default.
- W2287710858 hasOpenAccess W2287710858 @default.
- W2287710858 hasPrimaryLocation W22877108581 @default.
- W2287710858 hasRelatedWork W125051846 @default.
- W2287710858 hasRelatedWork W1861694250 @default.
- W2287710858 hasRelatedWork W1870235563 @default.
- W2287710858 hasRelatedWork W2023345279 @default.
- W2287710858 hasRelatedWork W2027207124 @default.
- W2287710858 hasRelatedWork W2034522783 @default.
- W2287710858 hasRelatedWork W2050778735 @default.
- W2287710858 hasRelatedWork W2065456053 @default.
- W2287710858 hasRelatedWork W2085344878 @default.
- W2287710858 hasRelatedWork W2091718639 @default.
- W2287710858 hasRelatedWork W2129553525 @default.
- W2287710858 hasRelatedWork W2146550217 @default.
- W2287710858 hasRelatedWork W2463486970 @default.
- W2287710858 hasRelatedWork W2775246221 @default.
- W2287710858 hasRelatedWork W2801336667 @default.
- W2287710858 hasRelatedWork W2876768420 @default.
- W2287710858 hasRelatedWork W2900688680 @default.
- W2287710858 hasRelatedWork W2951746492 @default.
- W2287710858 hasRelatedWork W2978940206 @default.
- W2287710858 hasRelatedWork W3121885105 @default.
- W2287710858 isParatext "false" @default.
- W2287710858 isRetracted "false" @default.
- W2287710858 magId "2287710858" @default.
- W2287710858 workType "article" @default.