Abstract
Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. Such data are called functional data. This paper is concerned with comparing two or more stochastic processes that generate functional data. The data may be produced by a randomized experiment in which there are multiple treatments. The paper presents a method for testing the hypothesis that the same stochastic process generates all the functional data. The results of Monte Carlo experiments and an application to an experiment on pricing of natural gas illustrate the usefulness of the test.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 861-877 |
| Number of pages | 17 |
| Journal | Journal of Applied Econometrics |
| Volume | 36 |
| Issue number | 7 |
| DOIs | |
| State | Published - Nov 1 2021 |
Funding
We thank the co‐editor and three anonymous referees for comments and suggestions that greatly improved this paper. Part of this research was carried out while Joel L. Horowitz was a visitor at the Department of Economics, University College London, and the Centre for Microdata Methods and Practice. The research of Federico Bugni was supported in part by NIH Grant 40‐4153‐00‐0‐85‐399 and NSF Grant SES‐1729280. We thank the co-editor and three anonymous referees for comments and suggestions that greatly improved this paper. Part of this research was carried out while Joel L. Horowitz was a visitor at the Department of Economics, University College London, and the Centre for Microdata Methods and Practice. The research of Federico Bugni was supported in part by NIH Grant 40-4153-00-0-85-399 and NSF Grant SES-1729280.
ASJC Scopus subject areas
- Social Sciences (miscellaneous)
- Economics and Econometrics