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Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors

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Cited by:

  1. Mihailo Radoman & Marcel C. Voia, 2015. "Youth Training Programs and Their Impact on Career and Spell Duration of Professional Soccer Players," LABOUR, CEIS, vol. 29(2), pages 163-193, June.
  2. M. Ege Yazgan & Hakan Yilmazkuday, 2007. "Monetary policy rules in practice: evidence from Turkey and Israel," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 1-8.
  3. Dufour, J.M., 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Jean-Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 767-808, November.
  5. Sandberg, Susanne & Sui, Sui & Baum, Matthias, 2019. "Effects of prior market experiences and firm-specific resources on developed economy SMEs' export exit from emerging markets: Complementary or compensatory?," Journal of Business Research, Elsevier, vol. 98(C), pages 489-502.
  6. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
  7. Dufour, Jean-Marie, 2006. "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics," Journal of Econometrics, Elsevier, vol. 133(2), pages 443-477, August.
  8. Firmin Doko Tchatoka & Jean‐Marie Dufour, 2014. "Identification‐robust inference for endogeneity parameters in linear structural models," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 165-187, February.
  9. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "Estimation uncertainty in structural inflation models with real wage rigidities," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2554-2561, November.
  10. Chaudhuri, Saraswata & Zivot, Eric, 2011. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Journal of Econometrics, Elsevier, vol. 164(2), pages 239-251, October.
  11. Dufour, Jean-Marie, 2008. "Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms," UC3M Working papers. Economics we086027, Universidad Carlos III de Madrid. Departamento de Economía.
  12. Andrews, Donald W.K. & Marmer, Vadim, 2008. "Exactly distribution-free inference in instrumental variables regression with possibly weak instruments," Journal of Econometrics, Elsevier, vol. 142(1), pages 183-200, January.
  13. Luger, Richard, 2012. "Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3198-3211.
  14. Anatolyev, Stanislav & Mikusheva, Anna, 2022. "Factor models with many assets: Strong factors, weak factors, and the two-pass procedure," Journal of Econometrics, Elsevier, vol. 229(1), pages 103-126.
  15. Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda, 2015. "Factor based identification-robust inference in IV regressions," CEPR Discussion Papers 10390, C.E.P.R. Discussion Papers.
  16. Khalaf, Lynda & Schaller, Huntley, 2016. "Identification and inference in two-pass asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 165-177.
  17. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," Cowles Foundation Discussion Papers 1530, Cowles Foundation for Research in Economics, Yale University.
  18. Aviv Nevo & Adam M. Rosen, 2012. "Identification With Imperfect Instruments," The Review of Economics and Statistics, MIT Press, vol. 94(3), pages 659-671, August.
  19. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Structural Inflation Models with Real Wage Rigidities: The Case of Canada," Staff Working Papers 09-21, Bank of Canada.
  20. Marie-Claude Beaulieu & Lynda Khalaf & Marie-Hélène Gagnon, 2006. "Testing Financial Integration: Finite Sample Motivated Mothods," Computing in Economics and Finance 2006 233, Society for Computational Economics.
  21. Benoit Perron, 2003. "Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 424-443, May.
  22. Patrick Kline & Raffaele Saggio & Mikkel Sølvsten, 2020. "Leave‐Out Estimation of Variance Components," Econometrica, Econometric Society, vol. 88(5), pages 1859-1898, September.
  23. Horatio M. Morgan & Sui Sui & Shavin Malhotra, 2021. "No place like home: The effect of exporting to the country of origin on the financial performance of immigrant-owned SMEs," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 52(3), pages 504-524, April.
  24. Elise COUDIN, Jean-Marie DUFOUR, 2008. "Hodges-Lehmann Sign-based Estimators and Generalized Confidence Distributions in Linear Median Regressions with Moment-free Heterogenous Errors and Dependence of Unknown Form," Working Papers 2008-33, Center for Research in Economics and Statistics.
  25. Wei Chen & Paul Hribar & Sam Melessa, 2023. "Standard Error Biases When Using Generated Regressors in Accounting Research," Journal of Accounting Research, Wiley Blackwell, vol. 61(2), pages 531-569, May.
  26. Bolduc, Denis & Khalaf, Lynda & Yélou, Clément, 2010. "Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models," Journal of Econometrics, Elsevier, vol. 157(2), pages 317-327, August.
  27. Khalaf, Lynda & Kichian, Maral, 2003. "Are New Keynesian Phillips Curved Identified?," Cahiers de recherche 0312, GREEN.
  28. Jean-Marie Dufour & Alain Trognon & Purevdorj Tuvaandorj, 2017. "Invariant tests based on M -estimators, estimating functions, and the generalized method of moments," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 182-204, March.
  29. Börsch-Supan, Axel & Moshe Ben-Akiva & Kenneth Train & Daniel McFadden, 2002. "Hybrid Choice Models: Progress and Challenges," MEA discussion paper series 02009, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
  30. Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2020. "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: Invariance and finite-sample distributional theory," Journal of Econometrics, Elsevier, vol. 218(2), pages 390-418.
  31. Jean-Marie Dufour & Emmanuel Flachaire & Lynda Khalaf & Abdallah Zalghout, 2020. "Identification-robust Inequality Analysis," CIRANO Working Papers 2020s-23, CIRANO.
  32. Emma M. Iglesias & Garry D. A. Phillips, 2012. "Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 532-557, September.
  33. Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978, Cowles Foundation for Research in Economics, Yale University.
  34. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2006. "Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1707-1727.
  35. Elise Coudin & Jean-Marie Dufour, 2017. "Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogenous dependent errors," CIRANO Working Papers 2017s-06, CIRANO.
  36. Kaveh Salehzadeh Nobari, 2021. "Pair copula constructions of point-optimal sign-based tests for predictive linear and nonlinear regressions," Papers 2111.04919, arXiv.org.
  37. Dufour, Jean-Marie & Neifar, Malika, 2002. "Méthodes d’inférence exactes pour des processus autorégressifs : une approche fondée sur des tests induits," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(1), pages 19-40, Mars.
  38. Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Econometrics 9905001, University Library of Munich, Germany.
  39. Charlotta Groth & Hashmat Khan, 2007. "Investment adjustment costs: evidence from UK and US industries," Bank of England working papers 332, Bank of England.
  40. Elise Coudin & Jean-Marie Dufour, 2010. "Finite and Large Sample Distribution-Free Inference in Median Regressions with Instrumental Variables," Working Papers 2010-56, Center for Research in Economics and Statistics.
  41. Jean‐Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(4), pages 767-808, November.
  42. Christis Katsouris, 2023. "Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models," Papers 2311.08218, arXiv.org, revised Apr 2024.
  43. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2532-2553, November.
  44. Bolduc, Denis & Khalaf, Lynda & Moyneur, Érick, 2008. "Identification-robust simulation-based inference in joint discrete/continuous models for energy markets," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3148-3161, February.
  45. Noud P.A. van Giersbergen, 2011. "Bootstrapping Subset Test Statistics in IV Regression," UvA-Econometrics Working Papers 11-08, Universiteit van Amsterdam, Dept. of Econometrics.
  46. Costas Karfakis, 2013. "On Money and Output in the Euro Area: Is Money Redundant?," International Economic Journal, Taylor & Francis Journals, vol. 27(3), pages 487-496, September.
  47. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Assessing Indexation-Based Calvo Inflation Models," Staff Working Papers 09-7, Bank of Canada.
  48. Dufour, Jean-Marie & Taamouti, Mohamed, 2007. "Further results on projection-based inference in IV regressions with weak, collinear or missing instruments," Journal of Econometrics, Elsevier, vol. 139(1), pages 133-153, July.
  49. Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
  50. Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
  51. Tchatoka, Firmin Doko, 2015. "Subset Hypotheses Testing And Instrument Exclusion In The Linear Iv Regression," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1192-1228, December.
  52. Hakan, Yilmazkuday, 2009. "Is there a Role for International Trade Costs in Explaining the Central Bank Behavior?," MPRA Paper 15951, University Library of Munich, Germany.
  53. Kichian, Maral & Rumler, Fabio, 2014. "Forecasting Canadian inflation: A semi-structural NKPC approach," Economic Modelling, Elsevier, vol. 43(C), pages 183-191.
  54. Doko Tchatoka, Firmin Sabro & Dufour, Jean-Marie, 2008. "Instrument endogeneity and identification-robust tests: some analytical results," MPRA Paper 29613, University Library of Munich, Germany.
  55. Moreira, Marcelo J., 2009. "Tests with correct size when instruments can be arbitrarily weak," Journal of Econometrics, Elsevier, vol. 152(2), pages 131-140, October.
  56. Firmin Doko Tchatoka & Wenjie Wang, 2015. "On Bootstrap Validity for Subset Anderson-Rubin Test in IV Regressions," School of Economics and Public Policy Working Papers 2015-01, University of Adelaide, School of Economics and Public Policy.
  57. Jean-Marie Dufour & Mohamed Taamouti, 2005. "Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments," Econometrica, Econometric Society, vol. 73(4), pages 1351-1365, July.
  58. Jie Chen & Shawn Ni, 2011. "Estimating Estate-Specific Price-to-Rent Ratios in Shanghai and Shenzhen: A Bayesian Approach," International Real Estate Review, Global Social Science Institute, vol. 14(2), pages 208-239.
  59. Patrik Guggenberger, 2006. "The limit of finite sample size and a problem with subsampling (joint with D.W.K. Andrews), June 2005, this version March 2007," UCLA Economics Online Papers 372, UCLA Department of Economics.
  60. Christos Makridis, 2015. "The Elasticity of Air Quality: Evidence from Millions of Households Across the United States," Discussion Papers 15-020, Stanford Institute for Economic Policy Research.
  61. Costas Karfakis, 2011. "On money and output in the euro area: Is money redundant?," Discussion Paper Series 2011_01, Department of Economics, University of Macedonia, revised Jan 2011.
  62. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda & Melin, Olena, 2023. "Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds," Journal of Econometrics, Elsevier, vol. 236(1).
  63. Morgan, Horatio M. & Sui, Sui & Baum, Matthias, 2018. "Are SMEs with immigrant owners exceptional exporters?," Journal of Business Venturing, Elsevier, vol. 33(3), pages 241-260.
  64. Richard Ashley, 2009. "Assessing the credibility of instrumental variables inference with imperfect instruments via sensitivity analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(2), pages 325-337, March.
  65. Bunzel, Helle & Iglesias, Emma M., 2006. "Testing for Breaks Using Alternating Observations," Staff General Research Papers Archive 12694, Iowa State University, Department of Economics.
  66. Kim P. Huynh & Robert J. Petrunia & Marcel Voia, 2010. "The Impact Of Initial Financial State On Firm Duration Across Entry Cohorts," Journal of Industrial Economics, Wiley Blackwell, vol. 58(3), pages 661-689, September.
  67. Geneviève Vallée, 2018. "How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times," Staff Working Papers 18-46, Bank of Canada.
  68. Sui Sui & Matthias Baum & Shavin Malhotra, 2019. "How Home-Peers Affect the Export Market Exit of Small Firms: Evidence From Canadian Exporters," Entrepreneurship Theory and Practice, , vol. 43(5), pages 1018-1045, September.
  69. Abderrahim Taamouti, 2021. "Covid‐19 Control and the Economy: Test, Test, Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1011-1028, October.
  70. Lynda Khalaf & Maral Kichian, 2004. "Estimating New Keynesian Phillips Curves Using Exact Methods," Staff Working Papers 04-11, Bank of Canada.
  71. Ziliang Deng & Ruey-Jer Bryan Jean & Rudolf R. Sinkovics, 2017. "Polarizing Effects of Early Exporting on Exit," Management International Review, Springer, vol. 57(2), pages 243-275, April.
  72. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
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