Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Sequential Specification Tests to Choose a Model: A Change-Point
  Approach   Researchers faced with a sequence of candidate model specifications must
often choose the best specification that does not violate a testable
identification assumption. One option in this scenario is sequential
specification tests: hypothesis tests of the identification assumption over the
sequence. Borrowing an idea from the change-point literature, this paper shows
how to use the distribution of p-values from sequential specification tests to
estimate the point in the sequence where the identification assumption ceases
to hold. Unlike current approaches, this method is robust to individual errant
p-values and does not require choosing a test level or tuning parameter. This
paper demonstrates the method's properties with a simulation study, and
illustrates it by application to the problems of choosing a bandwidth in a
regression discontinuity design while maintaining covariate balance and of
choosing a lag order for a time series model.

31
The categories of this paper are: ao-sci
26
The categories of this paper are: bayes-an
15
The categories of this paper are: nucl-ex
1
The categories of this paper are: cs
21
The categories of this paper are: adap-org
18
The categories of this paper are: econ
4
The categories of this paper are: cond-mat
12
The categories of this paper are: nucl-th
22
The categories of this paper are: chao-dyn
29
The categories of this paper are: funct-an
19
The categories of this paper are: eess
30
The categories of this paper are: q-alg
17
The categories of this paper are: q-fin
34
The categories of this paper are: chem-ph
35
The categories of this paper are: mtrl-th
0
The categories of this paper are: hep-ph