arXiv 17 Sep 2020 · Econometrics · publishedJournal of Econometrics (2021) · 4 citations (OpenAlex)
arXiv:2009.08291 · PDF · DOI · OpenAlex · Extracted main text
We address the issue of semiparametric efficiency in the bivariate regression problem with a highly persistent predictor, where the joint distribution of the innovations is regarded an infinite-dimensional nuisance parameter. Using a structural representation of the limit experiment and exploiting invariance relationships therein, we construct invariant point-optimal tests for the regression coefficient of interest. This approach naturally leads to a family of feasible tests based on the component-wise ranks of the innovations that can gain considerable power relative to existing tests under non-Gaussian innovation distributions, while behaving equivalently under Gaussianity. When an i.i.d. assumption on the innovations is appropriate for the data at hand, our tests exploit the efficiency gains possible. Moreover, we show by simulation that our test remains well behaved under some forms of conditional heteroskedasticity.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Jansson, M. and Moreira, M. J (2006) Optimal inference in regression models with nearly integrated regressors | 1.000 | 16 | 5 | 100% |
| 2 | Campbell, J. Y. and Yogo, M (2006) Efficient tests of stock return predictability | 1.000 | 6 | 3 | 100% |
| 3 | Zhou, B., van den Akker, R., and Werker, B. J (2019) Semiparametrically optimal hybrid rank tests for unit roots self | 0.950 | 7 | 5 | 86% |
| 4 | Lehmann, E. L. and Romano, J. P (2006) Testing statistical hypotheses | 0.928 | 5 | 3 | 80% |
| 5 | Cavanagh, C. L., Elliott, G., and Stock, J. H (1995) Inference in models with nearly integrated regressors | 0.928 | 4 | 3 | 100% |
| 6 | Elliott, G., Müller, U. K., and Watson, M. W (2015) Nearly optimal tests when a nuisance parameter is present under the null hypothesis | 0.920 | 18 | 6 | 78% |
| 7 | Van der Vaart, A. W (2000) Asymptotic statistics | 0.843 | 4 | 3 | 75% |
| 8 | Zhou, B (2020) A General Semiparametric Approach for LAN, LAMN, and LABF Experiments self | 0.737 | 3 | 2 | 100% |
| 9 | Chernoff, H. and Savage, I. R (1958) Asymptotic normality and efficiency of certain nonparametric test statistics | 0.644 | 2 | 2 | 100% |
| 10 | Jansson, M (2008) Semiparametric power envelopes for tests of the unit root hypothesis | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 31 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Asymptotic Theory for Unit Root Moderate Deviations in Quantile Autoregressions and Predictive Regressions | 0.405 | 1 | 1 |
| 2 | Semiparametrically Optimal Cointegration Test | 0.405 | 1 | 1 |
| 3 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models | 0.405 | 1 | 1 |