Related papers: Marginal homogeneity tests with panel data
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple…
In this paper the nonparametric quantile regression model is considered in a location-scale context. The asymptotic properties of the empirical independence process based on covariates and estimated residuals are investigated. In particular…
This paper develops a consistent series-based specification test for semiparametric panel data models with fixed effects. The test statistic resembles the Lagrange Multiplier (LM) test statistic in parametric models and is based on a…
We review approaches to statistical inference based on randomization. Permutation tests are treated as an important special case. Under a certain group invariance property, referred to as the ``randomization hypothesis,'' randomization…
We study properties of two resampling scenarios: Conditional Randomisation and Conditional Permutation schemes, which are relevant for testing conditional independence of discrete random variables $X$ and $Y$ given a random variable $Z$.…
This paper examines the identification and estimation of heterogeneous treatment effects in event studies, emphasizing the importance of both lagged dependent variables and treatment effect heterogeneity. We show that omitting lagged…
A massive dataset often consists of a growing number of (potentially) heterogeneous sub-populations. This paper is concerned about testing various forms of heterogeneity arising from massive data. In a general nonparametric framework, a set…
In panel data we observe a usually high number N of individuals over a time period T. Even if T is large one often assumes stability of the model over time. We propose a nonparametric and robust test for a change in location and derive its…
The commonly used two-way fixed effects estimator is biased under correlated heterogeneity and can lead to misleading inference. The mean group estimator proposed by Pesaran and Smith (1995) is robust to correlated heterogeneity but…
The problem of simultaneously testing the marginal distributions of sequentially monitored, independent data streams is considered. The decisions for the various testing problems can be made at different times, using data from all streams,…
We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data.…
Recent work has focused on nonparametric estimation of conditional treatment effects, but inference has remained relatively unexplored. We propose a class of nonparametric tests for both quantitative and qualitative treatment effect…
Statistical models of unobserved heterogeneity are typically formalized as mixtures of simple parametric models and interest naturally focuses on testing for homogeneity versus general mixture alternatives. Many tests of this type can be…
The paper introduces robust independence tests with non-asymptotically guaranteed significance levels for stochastic linear time-invariant systems, assuming that the observed outputs are synchronous, which means that the systems are driven…
This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest -- means, variances, and other moments of the random…
We introduce a generic class of dynamic nonlinear heterogeneous parameter models that incorporate individual and time fixed effects in both the intercept and slope. These models are subject to the incidental parameter problem, in that the…
Randomization tests rely on simple data transformations and possess an appealing robustness property. In addition to being finite-sample valid if the data distribution is invariant under the transformation, these tests can be asymptotically…
The comparison of a parameter in $k$ populations is a classical problem in statistics. Testing for the equality of means or variances are typical examples. Most procedures designed to deal with this problem assume that $k$ is fixed and that…
Randomization tests are based on a re-randomization of existing data to gain data-dependent critical values that lead to exact hypothesis tests under special circumstances. However, it is not always possible to re-randomize data in…
Classical two-sample permutation tests for equality of distributions have exact size in finite samples, but they fail to control size for testing equality of parameters that summarize each distribution. This paper proposes permutation tests…