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Monotonicity is a key qualitative prediction of a wide array of economic models derived via robust comparative statics. It is therefore important to design effective and practical econometric methods for testing this prediction in empirical analysis. This paper develops a general nonparametric framework for testing monotonicity of a regression function. Using this framework, a broad class of new tests is introduced, which gives an empirical researcher a lot of flexibility to incorporate ex ante information she might have. The paper also develops new methods for simulating critical values, which are based on the combination of a bootstrap procedure and new selection algorithms. These methods yield tests that have correct asymptotic size and are asymptotically nonconservative. It is also shown how to obtain an adaptive rate optimal test that has the best attainable rate of uniform consistency against models whose regression function has Lipschitz-continuous first-order derivatives and that automatically adapts to the unknown smoothness of the regression function. Simulations show that the power of the new tests in many cases significantly exceeds that of some prior tests, e.g. that of Ghosal, Sen, and Van der Vaart (2000). An application of the developed procedures to the dataset of Ellison and Ellison (2011) shows that there is some evidence of strategic entry deterrence in pharmaceutical industry where incumbents may use strategic investment to prevent generic entries when their patents expire.
We derive adjusted signed likelihood ratio statistics for a general class of extreme value regression models. The adjustments reduce the error in the standard normal approximation to the distribution of the signed likelihood ratio statistic. We use M
We consider a linear regression model, with the parameter of interest a specified linear combination of the regression parameter vector. We suppose that, as a first step, a data-based model selection (e.g. by preliminary hypothesis tests or minimizin
We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general distribution of the policy loss without the restrictive assumption of in
This paper explores the information-theoretic limitations of graph property testing in zero-field Ising models. Instead of learning the entire graph structure, sometimes testing a basic graph property such as connectivity, cycle presence or maximum c
The bifactor model and its extensions are multidimensional latent variable models, under which each item measures up to one subdimension on top of the primary dimension(s). Despite their wide applications to educational and psychological assessments,