The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix

It is proved the algebraic equality between Jennrich's (1970) asymptotic$X^2$ test for equality of correlation matrices, and a Wald test statisticderived from Neudecker and Wesselman's (1990) expression of theasymptoticvariance matrix of the sample correlation matrix.

Compact matrix expressions for generalized Wald tests of equality of moment vectors

Asymptotic chi-squared test statistics for testing the equality ofmoment vectors are developed. The test statistics proposed aregeneralizedWald test statistics that specialize for different settings by inserting andappropriate asymptotic variance matrix of sample moments. Scaled teststatisticsare also considered for dealing with situations of non-iid sampling. Thespecializationwill be carried out for testing the equality of multinomial populations, andtheequality of variance and correlation matrices for both normal andnon-normaldata. When testing the equality of correlation matrices, a scaled versionofthe normal theory chi-squared statistic is proven to be an asymptoticallyexactchi-squared statistic in the case of elliptical data.

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach

We propose new spanning tests that assess if the initial and additional assets share theeconomically meaningful cost and mean representing portfolios. We prove their asymptoticequivalence to existing tests under local alternatives. We also show that unlike two-step oriterated procedures, single-step methods such as continuously updated GMM yield numericallyidentical overidentifyng restrictions tests, so there is arguably a single spanning test.To prove these results, we extend optimal GMM inference to deal with singularities in thelong run second moment matrix of the influence functions. Finally, we test for spanningusing size and book-to-market sorted US stock portfolios.

Scaled and adjusted restricted tests in multi-sample analysis of moment structures

We extend to score, Wald and difference test statistics the scaled and adjusted corrections to goodness-of-fit test statistics developed in Satorra and Bentler (1988a,b). The theory is framed in the general context of multisample analysis of moment structures, under general conditions on the distribution of observable variables. Computational issues, as well as the relation of the scaled and corrected statistics to the asymptotic robust ones, is discussed. A Monte Carlo study illustrates thecomparative performance in finite samples of corrected score test statistics.

Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size

This paper analyzes whether standard covariance matrix tests work whendimensionality is large, and in particular larger than sample size. Inthe latter case, the singularity of the sample covariance matrix makeslikelihood ratio tests degenerate, but other tests based on quadraticforms of sample covariance matrix eigenvalues remain well-defined. Westudy the consistency property and limiting distribution of these testsas dimensionality and sample size go to infinity together, with theirratio converging to a finite non-zero limit. We find that the existingtest for sphericity is robust against high dimensionality, but not thetest for equality of the covariance matrix to a given matrix. For thelatter test, we develop a new correction to the existing test statisticthat makes it robust against high dimensionality.

Constant coefficient tests for random coefficient regression

Random coefficient regression models have been applied in differentfields and they constitute a unifying setup for many statisticalproblems. The nonparametric study of this model started with Beranand Hall (1992) and it has become a fruitful framework. In thispaper we propose and study statistics for testing a basic hypothesisconcerning this model: the constancy of coefficients. The asymptoticbehavior of the statistics is investigated and bootstrapapproximations are used in order to determine the critical values ofthe test statistics. A simulation study illustrates the performanceof the proposals.

Social preferences: Some simple tests and a new model

Departures from pure self interest in economic experiments have recently inspired models of "social preferences". We conduct experiments on simple two-person and three-person games with binary choices that test these theories more directly than the array of games conventionally considered. Our experiments show strong support for the prevalence of "quasi-maximin" preferences: People sacrifice to increase the payoffs for all recipients, but especially for the lowest-payoff recipients. People are also motivated by reciprocity: While people are reluctant to sacrifice to reciprocate good or bad behavior beyond what they would sacrifice for neutral parties, they withdraw willingness to sacrifice to achieve a fair outcome when others are themselves unwilling to sacrifice. Some participants are averse to getting different payoffs than others, but based on our experiments and reinterpretation of previous experiments we argue that behavior that has been presented as "difference aversion" in recent papers is actually a combination of reciprocal and quasi-maximin motivations. We formulate a model in which each player is willing to sacrifice to allocate the quasi-maximin allocation only to those players also believed to be pursuing the quasi-maximin allocation, and may sacrifice to punish unfair players.

Exact tests for correlation and for the slope in simple linear regressions without making assumptions

We present an exact test for whether two random variables that have known bounds on their support are negatively correlated. The alternative hypothesis is that they are not negatively correlated. No assumptions are made on the underlying distributions. We show by example that the Spearman rank correlation test as the competing exact test of correlation in nonparametric settings rests on an additional assumption on the data generating process without which it is not valid as a test for correlation.We then show how to test for the significance of the slope in a linear regression analysis that invovles a single independent variable and where outcomes of the dependent variable belong to a known bounded set.

Comment to "Weak instruments robust tests in GMM and the New Keynesian Phillips curve" by Frank Kleibergen and Sophocles Mavroeidis

I discuss the identifiability of a structural New Keynesian Phillips curve when it is embedded in a small scale dynamic stochastic general equilibrium model. Identification problems emerge because not all the structural parameters are recoverable from the semi-structural ones and because the objective functions I consider are poorly behaved. The solution and the moment mappings are responsible for the problems.

Cómo realizar tests de usabilidad con personas ciegas

Se presentan una serie de recomendaciones prácticas para realizar tests de usabilidad con personas ciegas. Tanto la planificación, como la ejecución y el análisis posterior son comentados en detalle para aconsejar un conjunto de buenas prácticas. El artículo finaliza con algunas reflexiones críticas sobre la pretendida discapacidad de los usuarios ciegos.

Testing for hysteresis in unemployment in OECD countries: new evidence using stationarity panel tests with breaks

This paper tests hysteresis effects in unemployment using panel data for 19 OECD countries covering the period 1956-2001. The tests exploit the cross-section variations of the series, and additionally, allow for a diferent number of endogenous breakpoints in the unemployment series. The critical values are simulated based on our specific panel sizes and time periods. The findings stress the importance of accounting for exogenous shocks in the series and give support to the natural-rate hypothesis of unemployment for the majority of the countries analyzed

New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks

This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfilment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.

Testing for hysteresis in unemployment in OECD countries: new evidence using stationarity panel tests with breaks

This paper tests hysteresis effects in unemployment using panel data for 19 OECD countries covering the period 1956-2001. The tests exploit the cross-section variations of the series, and additionally, allow for a diferent number of endogenous breakpoints in the unemployment series. The critical values are simulated based on our specific panel sizes and time periods. The findings stress the importance of accounting for exogenous shocks in the series and give support to the natural-rate hypothesis of unemployment for the majority of the countries analyzed

New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks

This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfilment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.