摘要翻译：
我们建议使用置换检验来检测一个潜在的经济模型在一个截止点上的不连续性。相对于已有文献，我们表明该检验很适合于基于时间序列数据的事件研究。检验统计量度量了两个局部子样本中观测数据的经验分布函数在截断点两侧的距离。临界值通过标准排列算法计算。在观测数据可以由一组条件自变量耦合的高级条件下，我们建立了置换检验的渐近有效性，允许局部子样本的大小固定或增长到无穷大。在后一种情况下，我们还建立了置换检验是一致的。我们证明了我们的高级条件可以在填充渐近时间序列中的广泛问题中得到验证，这证明了使用置换检验来检测经济变量如波动性、交易活动和流动性的跳跃是合理的。本文提供了一个最近的标准普尔500日回报样本的实证说明。
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英文标题：
《Permutation-based tests for discontinuities in event studies》
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作者：
Federico A. Bugni and Jia Li
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最新提交年份：
2020
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
  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.
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PDF链接：
https://arxiv.org/pdf/2007.09837