Testing for a change lit the regression matrix of a multivariate linear model

A Bayesian test procedure Is developed to test; the null hypothesis of no change In the regression matrix of a multivariate lin¬ear model against the alternative hypothesis of exactly one change The resulting test is based on the marginal posterior distribution of the change point; To illustrate the test procedure a numerical example using a bivariate regression model is considered.     

How effective are the reset tests for omitted variables

In regression analysis, RESET has widely been regarded as an effective diagnostic test especially for omitted variables. This paper investigates the limitations of the existing RESET tests in detecting omitted variables. We analyze the sources from which RESET draws its power and point out the circumstances under which RESET will likely be ineffective. We offer some Monte Carlo evidence as well as an empirical application to illustrate the weaknesses of the RESET tests. A more robust RESET type test is proposed.     

Confidence regions for parameters in linear models with additional information

Using given significant additional information it is possible to improve different confidence regions for the regression parameters in a linear model. Thereby, the given informations may concern the expectation and (or) the variance of the observations, and an improvement is possible in the sense of the decrease of the confidence regions' size. In particular it is possible to improve the so called confidence ellipsoids which are often used to estimate the considered parameters.     

The optimal Lp norm estimator in linear regression models

The least squares estimator is usually applied when estimating the parameters in linear regression models. As this estimator is sensitive to departures from normality in the residual distribution, several alternatives have been proposed. The L_p norm estimators is one class of such alternatives. It has been proposed that the kurtosis of the residual distribution be taken into account when a choice of estimator in the L_p norm class is made (i.e. the choice of p). In this paper, the asymtotic variance of the estimators is used as the criterion in the choice of p. It is shown that when this criterion is applied, other characteristics of the residual distribution than the kurtosis (namely moments of order p-2 and 2p-2) are important.     

A simulation comparison of estimators for a regression coefficient under differential non-response

We consider the estimation of a regression coefficient in a linear regression when observations are missing due to nonresponse. Response is assumed to be determined by a nonobservable variable which is linearly related to an observable variable. The values of the observable variable are assumed to be available for the whole sample but the variable is not includsd in the regression relationship of interest . Several alternative estimators have been proposed for this situation under various simplifying assumptions. A sampling theory approach provides three alternative estimatrs by considering the observatins as obtained from a sub-sample, selected on the basis of the fully observable variable , as formulated by Nathan and Holt (1980). Under an econometric approach, Heckman (1979) proposed a two-stage (probit and OLS) estimator which is consistent under specificconditions. A simulation comparison of the four estimators and the ordinary least squares estimator , under multivariate normality of all the variables involved, indicates that the econometric approach estimator is not robust to departures from the conditions underlying its derivation, while two of the other estimators exhibit a similar degree of stable performance over a wide range of conditions. Simulations for a non-normal distribution show that gains in performance can be obtained if observations on the independent variable are available for the whole population.     

Approximate tests of hypotheses in regression models with grouped data

Techniques for testing hypotheses about parameters in the regression models under the situation of grouped data are provided. A test statistic similar to conventional F statistic is considered. A simulation study performed for a few cases shows that the proposed statistic has an approximate F distribution and is useful in applications.     

A table of predictive success probabilities for logistic regression

A table of expected success rates under normally distributed success logit, used in conjunction with logistic regression analysis, enables easy calculation of expected win for betting on success of a future dichotomous trial.     

On a superiority problem in misspecified restricted linear models

Razzaghi (1987) conjectures that a wrong choice of covariance matrix in a restricted linear model results in loss of efficiency, This conjecture is proved to be correct.     

A distance based regression model for prediction with mixed data

A multiple regression method based on distance analysis and metric scaling is proposed and studied. This method allow us to predict a continuous response variable from several explanatory variables, is compatible with the general linear model and is found to be useful when the predictor variables are both continuous and categorical. Real data examples are given to illustrate the results obtained.     

Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs

ABSTRACT

This study develops methods for conducting uniform inference on quantile treatment effects for sharp regression discontinuity designs. We develop a score test for the treatment significance hypothesis and Wald-type tests for the hypotheses related to treatment significance, homogeneity, and unambiguity. The bias from the nonparametric estimation is studied in detail. In particular, we show that under some conditions, the asymptotic distribution of the score test is unaffected by the bias, without under-smoothing. For situations where the conditions can be restrictive, we incorporate a bias correction into the Wald tests and account for the estimation uncertainty. We also provide a procedure for constructing uniform confidence bands for quantile treatment effects. As an empirical application, we use the proposed methods to study the effect of cash-on-hand on unemployment duration. The results reveal pronounced treatment heterogeneity and also emphasize the importance of considering the long-term unemployed.