We develop asymptotic and bootstrap tests for stochastic dominance of the infinite order for distributions with known common support the set of non-negative real numbers. These tests posit a null of dominance, which is characterized by an inequality in the corresponding Laplace transforms of the distribution functions. The bootstrap procedure uses a bootstrap data generating process that satisf...

Simultaneous equations models identified via heteroskedasticity may be subject to weak identification concerns due to proportional changes in variance across series. Considering data from Nakamura & Steinsson (2017), I calibrate simulations to show the relevance of these concerns in practice. I propose conditions under which robust inference methods for a subset of the parameter vector are vali...

Many risk, inequality, poverty and concentration measures are extremely sensitive to outliers, dependence, heterogeneity and heavy tails. In this paper we focus on robust measurement of risk, inequality, poverty and concentration under heterogeneity, dependence and heavy-tailedness of largely unknown form using the recent results on t−statistic based heterogeneity and correlation robust inferen...

The bootstrap is a method for estimating the distribution of an estimator or test statistic by resampling one’s data or a model estimated from the data. Under conditions that hold in a wide variety of econometric applications, the bootstrap provides approximations to distributions of statistics, coverage probabilities of confidence intervals, and rejection probabilities of hypothesis tests that...

We consider the bootstrap method for the covariates augmented DickeyFuller (CADF) unit root test suggested in Hansen (1995) which uses related variables to improve the power of univariate unit root tests. It is shown that there are substantial power gains from including correlated covariates. The limit distribution of the CADF test, however, depends on the nuisance parameter that represents the...

In estimating conditional moment restrictions, a well known difficulty is that the estimator based on a set of implied unconditional moments may lose its consistency when the parameters of interest are not globally identified. In this paper, we consider a continuum of unconditional moments that are equivalent to the postulated conditional moments and can identify the parameters of interest. We ...

We propose a class of new robust Generalized Method of Moments (GMM) tests for endogenous structural breaks. The tests are based on supremum, average and exponential functionals derived from robust GMM estimators with bounded influence function. We study the theoretical local robustness properties of the new tests and show that they imply a uniformly bounded asymptotic sensitivity of size and p...

In Brodeur, Cook, and Heyes (2020) we present evidence that instrumental variable (and to a lesser extent difference-in-difference) articles are more p-hacked than randomized controlled trial regression discontinuity design articles. We also find no (i) published in the top five journals different; (ii) “revise resubmit” process mitigates problem; (iii) things improving through time. Kranz Pütz...

ABSTRACT A large body of empirical research in accounting investigates the causes and consequences accruals quality, reaching numerous influential conclusions. Yet little work has been done to systematically evaluate validity underlying measures quality. We these using three criteria: (1) Is measure unaffected by economic determinants accruals? (2) Does consistently reflect errors (3) facilitat...