Related papers: Locally Regular and Efficient Tests in Non-Regular…
Empirical modelling often aims for the simplest model consistent with the data. A new technique is presented which quantifies the consistency of the model dynamics as a function of location in state space. As is well-known, traditional…
We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to the unit root model. The invariance structures naturally suggest tests that are…
In this paper, some recent and classical tests of symmetry are modified for the case of an unknown center. The unknown center is estimated with its $\alpha$-trimmed mean estimator. The asymptotic behavior of the new tests is explored. The…
The classical binary hypothesis testing problem is revisited. We notice that when one of the hypotheses is composite, there is an inherent difficulty in defining an optimality criterion that is both informative and well-justified. For…
This paper presents a simple method for carrying out inference in a wide variety of possibly nonlinear IV models under weak assumptions. The method is non-asymptotic in the sense that it provides a finite sample bound on the difference…
In this paper a robust version of the classical Wald test statistics for linear hypothesis in the logistic regression model is introduced and its properties are explored. We study the problem under the assumption of random covariates…
We present supremum Lagrange Multiplier tests to compare a linear ARMA specification against its threshold ARMA extension. We derive the asymptotic distribution of the test statistics both under the null hypothesis and contiguous local…
We study the properties of the score confidence set for the local average treatment effect in non and semiparametric instrumental variable models. This confidence set is constructed by inverting a score test based on an estimate of the…
The empirical likelihood inference is extended to a class of semiparametric models for stationary, weakly dependent series. A partially linear single-index regression is used for the conditional mean of the series given its past, and the…
A simple local hidden-variables model is exhibited which reproduces the results of all performed tests of Bell\'{}s inequalities involving optical photon pairs. For the old atomic-cascade experiments, like Aspect\'{}s, the model agrees with…
Generalized linear models are often misspecified due to overdispersion, heteroscedasticity and ignored nuisance variables. Existing quasi-likelihood methods for testing in misspecified models often do not provide satisfactory type-I error…
We propose and implement an approach to inference in linear instrumental variables models which is simultaneously robust and computationally tractable. Inference is based on self-normalization of sample moment conditions, and allows for…
The standard paradigm for confirmatory clinical trials is to compare experimental treatments with a control, for example the standard of care or a placebo. However, it is not always the case that a suitable control exists. Efficient…
A class of estimating functions is introduced for the regression parameter of the Cox proportional hazards model to allow unknown failure statuses on some study subjects. The consistency and asymptotic normality of the resulting estimators…
Quantum nonlocality is a counterintuitive phenomenon that lies beyond the purview of causal influences. Recently, Bell inequalities have been generalized to the case of quantum inputs, leading to a powerful family of semi-quantum Bell…
When a parameter of interest is nondifferentiable in the probability, the existing theory of semiparametric efficient estimation is not applicable, as it does not have an influence function. Song (2014) recently developed a local asymptotic…
A quantitative regularity theory is developed for weak solutions to the parabolic system $$ \partial_t u-\mathrm{div}\,{\boldsymbol{\mathsf A}}(x,t,Du)=0 \quad\text{in }E_T\subset \mathbb{R}^N\times\mathbb{R}, $$ which features the…
The main purpose of this paper is to provide an asymptotically optimal test. The proposed statistic is of Neyman-Pearson-type when the parameters are estimated with a particular kind of estimators. It is shown that the proposed estimators…
Inference on the parametric part of a semiparametric model is no trivial task. If one approximates the infinite dimensional part of the semiparametric model by a parametric function, one obtains a parametric model that is in some sense…
We propose an easily implementable test of the validity of a set of theoretical restrictions on the relationship between economic variables, which do not necessarily identify the data generating process. The restrictions can be derived from…