LOCAL CUTS AND SEPARATE INFERENCE

Authors
CHRISTENSEN BJ KIEFER NM
Citation
Bj. Christensen et Nm. Kiefer, LOCAL CUTS AND SEPARATE INFERENCE, Scandinavian journal of statistics, 21(4), 1994, pp. 389-401
Citations number
21
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Scandinavian journal of statistics → ACNP
ISSN journal
03036898
Volume
21
Issue
4
Year of publication
1994
Pages
389 - 401
Database
ISI
SICI code
0303-6898(1994)21:4<389:LCASI>2.0.ZU;2-Y
Abstract
The new concept of a local cut is shown to lead to natural separate in ference in cases where no formal statistical justification for such pr ocedures exists using conventional concepts. Examples include the pane l data model with Bred effects, the capital asset pricing model, the c ointegration model and the prototypal job search model. An interpretat ion of local cuts in sufficiently smooth settings in terms of the fami liar Edgeworth expansion is provided.