Federico A. Bugni, Jia Li, Qiyuan Li
arXiv 20 Jul 2020 · Econometrics · publishedQuantitative Economics (2023) · 9 citations (OpenAlex)
arXiv:2007.09837 · PDF · DOI · OpenAlex · Extracted main text
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. The test statistic measures the distance between the empirical distribution functions of observed data in two local subsamples on the two sides of the cutoff. Critical values are computed via a standard permutation algorithm. Under a high-level condition that the observed data can be coupled by a collection of conditionally independent variables, we establish the asymptotic validity of the permutation test, allowing the sizes of the local subsamples to be either be fixed or grow to infinity. In the latter case, we also establish that the permutation test is consistent. We demonstrate that our high-level condition can be verified in a broad range of problems in the infill asymptotic time-series setting, which justifies using the permutation test to detect jumps in economic variables such as volatility, trading activity, and liquidity. These potential applications are illustrated in an empirical case study for selected FOMC announcements during the ongoing COVID-19 pandemic.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Lehmann, E. L. and J. P. Romano (2005) Testing Statistical Hypothesis | 1.000 | 9 | 3 | 100% |
| 2 | Bollerslev, T., J. Li, and Y. Xue (2018) Volume, Volatility, and Public News Announcements | 1.000 | 8 | 4 | 100% |
| 3 | Jacod, J. and P. Protter (2012) Discretization of Processes | 1.000 | 5 | 3 | 100% |
| 4 | Chung, E. and J. P. Romano (2013) Exact and Asymptotically Robust Permutation Tests | 0.928 | 4 | 3 | 100% |
| 5 | Canay, I. A. and V. Kamat (2017) Approximate Permutation Tests and Induced Order Statistics in the Regression Discontinuity Design | 0.874 | 5 | 2 | 100% |
| 6 | Li, J. and D. Xiu (2016) Generalized Method of Integrated Moments for High-frequency Data self | 0.644 | 2 | 2 | 100% |
| 7 | Nakamura, E. and J. Steinsson (2018) a): High-Frequency Identification of Monetary Non-Neutrality: The Information Effect | 0.644 | 2 | 2 | 100% |
| 8 | Cattaneo, M. D., R. Titiunik, and G. Vazquez-Bare (2017) Comparing inference approaches for RD designs: A reexamination of the effect of Head Start on child mortality | 0.511 | 2 | 1 | 100% |
| 9 | Cattaneo, M. D., B. R. Frandsen, and R. Titiunik (2015) Randomization inference in the regression discontinuity design: An application to party advantages in the US Senate | 0.511 | 2 | 1 | 100% |
| 10 | Hahn, J., P. Todd, and W. V. der Klaauw (2001) Identification and Estimation of Treatment Effects with a Regression-Discontinuity Design | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 44 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | On the Rates of Convergence of Induced Ordered Statistics and their Applications | 0.644 | 2 | 2 |
| 2 | An unbounded intensity model for point processes | 0.405 | 1 | 1 |