Listagem FGV EPGE - Ensaios Econômicos por autor "Moreira, Marcelo J."
Itens para a visualização no momento 1-5 of 5
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Contributions to the Theory of Optimal Tests
2013-10-28This paper considers tests which maximize the weighted average power (WAP). The focus is on determining WAP tests subject to an uncountable number of equalities and/or inequalities. The unifying theory allows us to obtain ... -
A critical value function approach, with an application to persistent time-series
2016-06-06Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to ... -
Impossible inference in econometrics: theory and applications to regression discontinuity, bunching, and exogeneity tests
2017-10This paper presents necessary and su cient conditions for tests to have trivial power. By inverting these impractical tests, we demonstrate that the bounded con dence regions have error probability equal to one. This theo- ... -
Likelihood inference and the role of initial conditions for the dynamic panel data model
2017-10Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is ine ... -
Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
2015-05-21This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the nite-sample theory of weighted-average ...
