Calendrier du 05 décembre 2022
Roy Seminar (ADRES)
Du 05/12/2022 de 17:00 à 18:15
Campus Jourdan R1-09
DUARTE Goncalves (University College London)
*
Econometrics Seminar
Du 05/12/2022 de 16:00 à 17:15
on Zoom
KETZ Philipp (PSE - CNRS)
Allowing for weak identification when testing GARCH-X type models
In this paper, we use the results in Andrews and Cheng (2012), extended to allow for parameters to be near or at the boundary of the parameter space, to derive the asymptotic distributions of the two test statistics that are used in the two-step (testing) procedure proposed by Pedersen and Rahbek (2019). The latter aims at testing the null hypothesis that a GARCH-X type model, with exogenous covariates (X), reduces to a standard GARCH type model, while allowing the "GARCH parameter" to be unidentified. We then provide a characterization result for the asymptotic size of any test for testing this null hypothesis before numerically establishing a lower bound on the asymptotic size of the two-step procedure at the 5% nominal level. This lower bound exceeds the nominal level, revealing that the two-step procedure does not control asymptotic size. In a simulation study, we show that this finding is relevant for finite samples, in that the two-step procedure can suffer from overrejection in finite samples. We also propose a new test that, by construction, controls asymptotic size and is found to be more powerful than the two-step procedure when the "ARCH parameter" is "very small" (in which case the two-step procedure underrejects).
Texte intégral
Paris Migration Economics Seminar
Du 05/12/2022 de 12:30 à 13:30
Salle R2.01, Campus Jourdan
DE LA CROIX David (UC Louvain)
Winners and Losers from the Protestant Reformation: An Analysis of the Network of European Universities
écrit avec P. Morault
Régulation et Environnement
Du 05/12/2022 de 12:00 à 13:15
Salle R1-09, Campus Jourdan, 75014 Paris
LEPAULT Claire (PSE)
*Is urban wastewater treatment effective in India?
While water pollution control is key to sustainable development, the effectiveness of water regulations in India is controversial. In this paper, I study the effect of recent Indian urban sewerage infrastructure on ambient water quality and downstream infant mortality. I use the 2020-21 national inventory of sewage treatment plants which I match to in situ measures of water quality spanning 1991-2020 using a geo-referenced network of Indian rivers and to child births in downstream villages using watershed boundaries. Using a difference-in-differences framework, I compare water pollution and health related to agglomerations that started wastewater treatment from 2010 onward versus agglomeration where wastewater treatment is in project in 2020. I use estimators robust to heterogeneous effects in the case of a staggered difference-in-differences design where treatment effects vary over time. I find that wastewater treatment decreases significantly both water pollution -- measured by levels of fecal coliforms -- and infant mortality.