Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications

Escanciano, Juan Carlos; Jacho-Chávez, David T.

doi:10.1016/j.csda.2008.05.016

Cited by 7 publications

(2 citation statements)

References 38 publications

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“…However, their results often require rather strong assumptions on f (•) such as smoothness conditions and compact support upon which it is bounded away from zero, see e.g. Khan and Lewbel (2007) and Jacho-Chávez (2010). Alternatively, this paper establishes the weak convergence of a version of (1.2) that imposes no explicit restrictions on the support of X, apart from general moment conditions on the joint distribution of (Y, X).…”

Section: Introductionmentioning

confidence: 94%

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k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA

Chu¹,

Jacho-Chávez²

2012

Econom. Theory

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This paper considers the problem of estimating expected values of functions that are inversely weighted by an unknown density using the k-nearest neighbor (k-NN) method. It establishes the $\root \of T $-consistency and the asymptotic normality of an estimator that allows for strictly stationary time-series data. The consistency of the Bartlett estimator of the derived asymptotic variance is also established. The proposed estimator is also shown to be asymptotically semiparametric efficient in the independent random sampling scheme. Monte Carlo experiments show that the proposed estimator performs well in finite sample applications.

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Section: Introductionmentioning

confidence: 94%

“…DGP 1 corresponds to Lewbel and Schennach's (2007) original design, while DGP 2-6 are taken from Escanciano and Jacho-Chávez (2010). In each of 1000 replications we generate sets of T = 100, 200 and 400 pseudo-random numbers following these DGPs.…”

Section: Monte Carlo Experimentsmentioning

confidence: 99%