Hypothesis Testing with Efficient Method of Moments Estimation

Newey, Whitney K.; West, Kenneth D.

doi:10.2307/2526578

Cited by 1,479 publications

(956 citation statements)

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“…Moreover, as shown by Stapleton and Young 1984 , the EF and the CEF expectation estimators are robust to measurement error on the positive v alue of the dependent variable, which is not the case for the standard maximum likelihood ML estimator of the tobit model. 18 18 The reason why the standard ML estimator is not consistent in the presence of measurement error is that the estimator of the auxiliary parameter, the variance of the error term, is based in part on the variance of the dependent variable. Since measurement error increases this variance, its estimator is biased upward and this bias is transmitted to the coe cient estimators.…”

Section: Econometric Issuesmentioning

confidence: 99%

Are Underground Workers More Likely to be Underground Consumers?

Fortin

Lacroix

Montmarquette

2000

The Economic Journal

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Ce document est publié dans l'intention de rendre accessibles les résultats préliminaires de la recherche effectuée au CIRANO, afin de susciter des échanges et des suggestions. Les Résumé / AbstractCet article étudie les effets du travail au noir sur le niveau des achats au noir des individus. On montre qu'il peut se décomposer en un effet de réseau, un effet de non-séparabilité et un effet revenu. Notre analyse empirique utilise des micro-données tirées d'une enquête réalisée au Québec pour l'année 1993. La méthode des moments généralisés nous permet de tenir compte de la censure et des erreurs de mesure sur la variable dépendante ainsi que de l'endogénéité des variables d'offre de travail qui conditionnent les décisions de consommation. Selon nos résultats, une hausse de l'offre de travail au noir accroît de façon importante le niveau des dépenses au noir. Cet effet amplifie l'impact des politiques de taxation et de contrôle fiscal sur la taille de l'économie souterraine. This paper investigates the effect of working in the underground Mots Clés :Consommation au noir, travail au noir, séparabilité, impact des politiques, estimations par la méthode des moments généralisés

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Section: Econometric Issuesmentioning

confidence: 99%

Are Underground Workers More Likely to be Underground Consumers?

Fortin

Lacroix

Montmarquette

2000

The Economic Journal

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“…Accordingly, we first construct point estimates of the parameters of (2) using ordinary least squares. Next, following Newey and West (1987), we use the estimated residuals {v i t } to estimate X (Σ ⊗ I T )X, where the matrix X denotes the regressors employed in estimation, and where the (i, j) element of Σ is estimated byΣ = 1 T T t=1v i tv j t . For this just identified estimator, the estimated covariance matrix of our parameter estimates is given by (X X) −1 X (Σ⊗I T )X(X X) −1 .…”

Section: Measuring Riskmentioning

confidence: 99%

Targeting and Informal Insurance

Ligon¹

2004

Insurance Against Poverty

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Abstract. The standard method of testing for efficient risk-sharing in village economies (Townsend, 1994) doesn't allow one to identify vulnerable households, only to make statements about the average risk in the village, or of sub-groups identifiable on the basis of observables. Here, by working directly with inter-household consumption correlations we're able to identify households which are probably exposed to unusually high amounts of idiosyncratic risk. An obvious use for this identifying information involves targeted interventions to help those households. However, the effectiveness of these interventions depends on the market imperfections which exposes those households to idiosyncratic risk to begin with. Using data from the Indian ICRISAT villages, we trace out the expected outcomes of targeted income transfers given several different hypotheses regarding why some households bear idiosyncratic risk.

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“…Either one makes additional assumptions to ensure that the variance is as claimed, which is what we propose below, or one has to use more complicated inference methods based on long run variance estimation, Newey and West (1987), or self normalization, Lobato (2001). In fact, the omitted condition appears quite innocuous, so their essential approach seems correct.…”

Section: Introductionmentioning

confidence: 99%

An investigation into multivariate variance ratio statistics and their application to stock market predictability

Hong¹,

Linton²,

Zhang³

2015

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We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form E¢ cient Market Hypothesis). We do not impose the no leverage assumption of Lo and MacKinlay (1988) but our asymptotic standard errors are relatively simple and in particular do not require the selection of a bandwidth parameter. We extend the framework to allow for a time varying risk premium through common systematic factors. We show the limiting behaviour of the statistic under a multivariate fads model and under a moderately explosive bubble process: these alternative hypotheses give opposite predictions with regards to the long run value of the statistics. We apply the methodology to …ve weekly size-sorted CRSP portfolio returns from 1962 to 2013 in three subperiods. We …nd evidence of a reduction of linear predictability in the most recent hjz20@cam.ac.uk 1 period, for small and medium cap stocks. The main …ndings are not substantially a¤ected by allowing for a common factor time varying risk premium.

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Hypothesis Testing with Efficient Method of Moments Estimation

Cited by 1,479 publications

References 19 publications

Are Underground Workers More Likely to be Underground Consumers?

Are Underground Workers More Likely to be Underground Consumers?

Targeting and Informal Insurance

An investigation into multivariate variance ratio statistics and their application to stock market predictability

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