About: Permutation-based tests for discontinuities in event studies

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An Entity of Type : schema:ScholarlyArticle, within Data Space : covidontheweb.inria.fr associated with source document(s)

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type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
title	Permutation-based tests for discontinuities in event studies
Creator	Li, Jia Bugni, Federico
source	ArXiv
abstract	We propose using a permutation test to detect discontinuities in an underlying economic model at a cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data. The test statistic measures the distance between the empirical distribution functions of observed data in two local subsamples on the two sides of the cutoff. Critical values are computed via a standard permutation algorithm. Under a high-level condition that the observed data can be coupled by a collection of conditionally independent variables, we establish the asymptotic validity of the permutation test, allowing the sizes of the local subsamples to be either be fixed or grow to infinity. In the latter case, we also establish that the permutation test is consistent. We demonstrate that our high-level condition can be verified in a broad range of problems in the infill asymptotic time-series setting, which justifies using the permutation test to detect jumps in economic variables such as volatility, trading activity, and liquidity. An empirical illustration on a recent sample of daily S&P 500 returns is provided.
has issue date	2020-07-20(xsd:dateTime)
has license	arxiv
sha1sum (hex)	e2b8999d3d60e8282d3d5c5d8307198e72fb3027
resource representing a document's title	Permutation-based tests for discontinuities in event studies
resource representing a document's body	covid:e2b8999d3d60e8282d3d5c5d8307198e72fb3027#body_text
is schema:about of	named entity 'permutation test' named entity 'permutation tests' named entity '2.3' named entity 'Lévy process' named entity 'volatility' »more»

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