Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogenous dependent errors
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Élise, COUDIN & Jean-Marie DUFOUR, 2017. "Finite-Sample Generalized Confidence Distributions and Sign-Based Robust Estimators in Median Regressions with Heterogeneous Dependent Errors," Cahiers de recherche 01-2017, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
References listed on IDEAS
- 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.
- DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 2003-12, Universite de Montreal, Departement de sciences economiques.
- DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 10-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," CIRANO Working Papers 2003s-49, CIRANO.
- 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.
- DUFOUR, Jean-Marie & TAAMOUTI, Mohamed, 2003. "Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments," Cahiers de recherche 2003-10, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour & Mohamed Taamouti, 2003. "Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments," CIRANO Working Papers 2003s-39, CIRANO.
- DUFOUR, Jean-Marie & TAAMOUTI, Mohamed, 2003. "Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments," Cahiers de recherche 08-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Portnoy, Stephen, 1991. "Asymptotic behavior of regression quantiles in non-stationary, dependent cases," Journal of Multivariate Analysis, Elsevier, vol. 38(1), pages 100-113, July.
- Zhao, Quanshui, 2001. "Asymptotically Efficient Median Regression In The Presence Of Heteroskedasticity Of Unknown Form," Econometric Theory, Cambridge University Press, vol. 17(4), pages 765-784, August.
- Weiss, Andrew A., 1991. "Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation," Econometric Theory, Cambridge University Press, vol. 7(1), pages 46-68, March.
- Elise Coudin & Jean-Marie Dufour, 2009.
"Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form,"
Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 19-49, January.
- Elise Coudin & Jean-Marie Dufour, 2007. "Finite-sample Distribution-free Inference in Linear Median Regression under Heteroskedasticity and Nonlinear Dependence of Unknown Form," Working Papers 2007-38, Center for Research in Economics and Statistics.
- Touhami Abdelkhalek & Jean-Marie Dufour, 1998.
"Statistical Inference For Computable General Equilibrium Models, With Application To A Model Of The Moroccan Economy,"
The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 520-534, November.
- ABDELKHALEK, Touhami & DUFOUR, Jean-Marie, 1997. "Statistical Inference for Computable General Equilibrium Models with Application to a Model of the Moroccan Economy," Cahiers de recherche 9713, Universite de Montreal, Departement de sciences economiques.
- Bantli, Faouzi El & Hallin, Marc, 1999.
"L1-estimation in linear models with heterogeneous white noise,"
Statistics & Probability Letters, Elsevier, vol. 45(4), pages 305-315, December.
- Marc Hallin & Faouzi El Bantli, 1999. "L1-estimation in linear models with heterogeneous white noise," ULB Institutional Repository 2013/2083, ULB -- Universite Libre de Bruxelles.
- Moshe Buchinsky, 1998. "Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 88-126.
- Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
- Jean-Marie Dufour & Jan F. Kiviet, 1998.
"Exact Inference Methods for First-Order Autoregressive Distributed Lag Models,"
Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
- Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Universite de Montreal, Departement de sciences economiques.
- Powell, James L, 1983. "The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators," Econometrica, Econometric Society, vol. 51(5), pages 1569-1575, September.
- Dufour, Jean-Marie & Jasiak, Joann, 2001. "Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(3), pages 815-843, August.
- Andrews, Donald W K, 1987. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers [On Unification of the Asymptotic Theory of Nonlinear Econometric Models]," Econometrica, Econometric Society, vol. 55(6), pages 1465-1471, November.
- 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.
- DUFOUR, Jean-Marie, 2005. "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche 2005-03, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour, 2005. "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers 2005s-02, CIRANO.
- DUFOUR, Jean-Marie, 2005. "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche 03-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Buchinsky, Moshe, 1995. "Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study," Journal of Econometrics, Elsevier, vol. 68(2), pages 303-338, August.
- Weiss, Andrew A., 1990. "Least absolute error estimation in the presence of serial correlation," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 127-158.
- Min-ge Xie & Kesar Singh, 2013. "Confidence Distribution, the Frequentist Distribution Estimator of a Parameter: A Review," International Statistical Review, International Statistical Institute, vol. 81(1), pages 3-39, April.
- Dufour, Jean-Marie & Valéry, Pascale, 2009. "Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 193-206, June.
- Koenker,Roger, 2005.
"Quantile Regression,"
Cambridge Books,
Cambridge University Press, number 9780521845731, September.
- Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275, January.
- 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.
- Dufour, Jean-Marie, 1990.
"Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors,"
Econometrica, Econometric Society, vol. 58(2), pages 475-494, March.
- Dufour, J.-M., 1986. "Exact tests and confidence sets in linear regressions with autocorrelated errors," LIDAM Discussion Papers CORE 1986037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Phillips, P.C.B., 1991.
"A Shortcut to LAD Estimator Asymptotics,"
Econometric Theory, Cambridge University Press, vol. 7(4), pages 450-463, December.
- Peter C.B. Phillips, 1990. "A Shortcut to LAD Estimator Asymptotics," Cowles Foundation Discussion Papers 949, Cowles Foundation for Research in Economics, Yale University.
- Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(2), pages 186-199, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023.
"A higher-order correct fast moving-average bootstrap for dependent data,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
- Davide La Vecchia & Alban Moor & Olivier Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Papers 2001.04867, arXiv.org, revised Jan 2022.
- Davide La Vecchia & Alban Moor & O. Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Swiss Finance Institute Research Paper Series 20-01, Swiss Finance Institute.
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2020. "A higher-order correct fast moving-average bootstrap for dependent data," Working Papers unige:129395, University of Geneva, Geneva School of Economics and Management.
- Kim, Jihyun & Meddahi, Nour, 2020. "Volatility regressions with fat tails," Journal of Econometrics, Elsevier, vol. 218(2), pages 690-713.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- 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.
- 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.
- Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2012. "Identification-robust inference for endogeneity parameters in linear structural models," MPRA Paper 40695, University Library of Munich, Germany.
- Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2014. "Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models," Cahiers de recherche 03-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2012. "Identification-robust inference for endogeneity parameters in linear structural models," Working Papers 15064, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Aug 2012.
- Firmin Doko Tchatoka & Jean-Marie Dufour, 2014. "Identification-robust inference for endogeneity parameters in linear structural models," CIRANO Working Papers 2014s-17, CIRANO.
- 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 EconomÃa.
- Tae-Hwan Kim & Halbert White, 2003.
"Estimation, Inference, And Specification Testing For Possibly Misspecified Quantile Regression,"
Advances in Econometrics, in: Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, pages 107-132,
Emerald Group Publishing Limited.
- White, Halbert & Kim, Tae-Hwan, 2002. "Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression," University of California at San Diego, Economics Working Paper Series qt1s38s0dn, Department of Economics, UC San Diego.
- 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.
- Doko Tchatoka, Firmin, 2010. "Subset hypotheses testing and instrument exclusion in the linear IV regression," MPRA Paper 29611, University Library of Munich, Germany, revised 02 Feb 2012.
- Firmin Doko Tchatoka, 2011. "Subset hypotheses testing and instrument exclusion in the linear IV regression," Working Papers 10668, University of Tasmania, Tasmanian School of Business and Economics.
- 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.
- 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.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005.
"Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions,"
Springer Books, in: Michèle Breton & Hatem Ben-Ameur (ed.), Numerical Methods in Finance, chapter 0, pages 173-191,
Springer.
- BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche 2005-04, Universite de Montreal, Departement de sciences economiques.
- BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche 04-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers 2005s-03, CIRANO.
- Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
- 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.
- 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.
- Firmin Doko Tchatoka & Jean-Marie Dufour, 2016. "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory," CIRANO Working Papers 2016s-62, CIRANO.
- Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2016. "Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory," Cahiers de recherche 14-2016, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2009. "Finite sample multivariate tests of asset pricing models with coskewness," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2008-2021, April.
- Firmin Doko Tchatoka & Lauren Slinger & Virginie Masson, 2020. "Revisiting empirical studies on the liquidity effect: An identication-robust approach," School of Economics and Public Policy Working Papers 2020-02, University of Adelaide, School of Economics and Public Policy.
- 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.
- 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.
- DUFOUR, Jean-Marie & KHALAF, Lynda & KICHIAN, Maral, 2005. "Inflation Dynamics and the New Keynesian Phillips Curve: An Identification Robust Econometric Analysis," Cahiers de recherche 22-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2005. "Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis," CIRANO Working Papers 2005s-30, CIRANO.
- DUFOUR, Jean-Marie Dufour & KHALAF, Lynda & KICHIAN, Maral, 2005. "Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis," Cahiers de recherche 2005-17, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2005. "Inflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis," Staff Working Papers 05-27, Bank of Canada.
- Khalaf, Lynda & Kichian, Maral, 2003.
"Are New Keynesian Phillips Curved Identified?,"
Cahiers de recherche
0312, GREEN.
- Maral Kichian & Jean-Marie Dufour & Lynda Khalaf, 2004. "Are New Keynesian Phillips Curves Identified ?," Computing in Economics and Finance 2004 56, Society for Computational Economics.
- Maral Kichian & Jean-Marie Dufour & Lynda Khalaf, 2004. "Are New Keynesian Phillips Curves Identified ?," 2004 Meeting Papers 601, Society for Economic Dynamics.
- Maral Kichian & Jean-Marie Dufour & Lynda Khalaf, 2004. "Are New Keynesian Phillips Curves Identified ?," Econometric Society 2004 North American Summer Meetings 424, Econometric Society.
- 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.
- 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.
- 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.
More about this item
Keywords
sign-based methods; median regression; test inversion; Hodges-Lehmann estimators; confidence distributions; p-value function; least absolute deviation estimators; quantile regressions; sign test; simultaneous inference; Monte Carlo tests; projection methods; non-normality; heteroskedasticity; serial dependence; GARCH; stochastic volatility;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cir:cirwor:2017s-06. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Webmaster (email available below). General contact details of provider: https://edirc.repec.org/data/ciranca.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.