| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w26016
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| 来源ID | Working Paper 26016
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| On Testing Continuity and the Detection of Failures |
| Matthew Backus; Sida Peng
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| 发表日期 | 2019-07-01
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| 出版年 | 2019
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| 语种 | 英语
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| 摘要 | Estimation of discontinuities is pervasive in applied economics: from the study of sheepskin effects to prospect theory and “bunching” of reported income on tax returns, models that predict discontinuities in outcomes are uniquely attractive for empirical testing. However, existing empirical methods often rely on assumptions about the number of discontinuities, the type, the location, or the underlying functional form of the model. We develop a nonparametric approach to the study of arbitrary discontinuities — point discontinuities as well as jump discontinuities in the nth derivative, where n = 0,1,... — that does not require such assumptions. Our approach exploits the development of false discovery rate control methods for lasso regression as proposed by G’Sell et al. (2015). This framework affords us the ability to construct valid tests for both the null of continuity as well as the significance of any particular discontinuity without the computation of nonstandard distributions. We illustrate the method with a series of Monte Carlo examples and by replicating prior work detecting and measuring discontinuities, in particular Lee (2008), Card et al. (2008), Reinhart and Rogoff (2010), and Backus et al. (2018b). |
| 主题 | Econometrics
; Estimation Methods
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| URL | https://www.nber.org/papers/w26016
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583689
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推荐引用方式
GB/T 7714 |
Matthew Backus,Sida Peng. On Testing Continuity and the Detection of Failures. 2019.
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文件名：
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w26016.pdf
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格式：
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Adobe PDF
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