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60 records from EconBiz based on author Name
1. Distributions you can count on ... but what’s the point?
abstractThe Poisson regression model remains an important tool in the econometric analysis of count data. In a pioneering contribution to the econometric analysis of such models, Lung-Fei Lee presented a specification test for a Poisson model against a broad class of discrete distributions sometimes called the Katz family. Two members of this alternative class are the binomial and negative binomial distributions, which are commonly used with count data to allow for under- and over-dispersion, respectively. In this paper we explore the structure of other distributions within the class and their suitability as alternatives to the Poisson model. Potential difficulties with the Katz likelihood leads us to investigate a class of point optimal tests of the Poisson assumption against the alternative of over-dispersion in both the regression and intercept only cases. In a simulation study, we compare score tests of "Poisson-ness" with various point optimal tests, based on the Katz family, and conclude that it is possible to choose a point optimal test which is better in the intercept only case, although the nuisance parameters arising in the regression case are problematic. One possible cause is poor choice of the point at which to optimize. Consequently, we explore the use of Hellinger distance to aid this choice. Ultimately we conclude that score tests remain the most practical approach to testing for over-dispersion in this context.
McCabe, Brendan Peter Martin; Skeels, Christopher L.;2020
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link Link
Citations: 1 (based on OpenCitations)
2. On the Stock-Yogo tables
abstractA standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order asymptotic approximations that may be of value in the presence of multiple endogenous regressors. Inspection of this new result provides insights not available from simulation, and will allow software implementations to be generalised and improved. Finally, we explore the calculation of p-values for the first-stage F-statistic weak instruments test.
Skeels, Christopher L.; Windmeijer, Frank;2018
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link Link
Citations: 7 (based on OpenCitations)
3. On the stock-yogo tables
Skeels, Christopher L.; Windmeijer, Frank;2016
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
4. Distributions you can count on …but what's the point?
McCabe, Brendan Peter Martin; Skeels, Christopher L.;2020
Type: Article;
Availability:
Link Citations: 1 (based on OpenCitations)
5. On the Stock-Yogo tables
Skeels, Christopher L.; Windmeijer, Frank;2018
Type: Article;
Availability:
Link Citations: 7 (based on OpenCitations)
6. The cardiovascular revolution and economic performance in the OECD countries
Hyclak, Thomas J.; Skeels, Christopher L.; Taylor, Larry W.;2016
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 4 (based on OpenCitations)
7. The ET interview: Adrian Pagan
Pagan, Adrian R.; Skeels, Christopher L.;2016
Type: Interview; Befragung
Availability: Link
8. Efficient estimation of non-linear dynamic panel data models with application to smooth transition models
Gørgens, Tue; Skeels, Christopher L.; Würtz, Allan H.;2009
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
9. Prediction after IV estimation
Skeels, Christopher L.; Taylor, Larry W.;2014
Type: Aufsatz in Zeitschrift; Article in journal;
10. The impact of cannabis & cigarette use on health
Williams, Jenny; Skeels, Christopher L.;2006
Availability: