Search Results - subject:"edgeworth expansion"

Optimal rank tests for symmetry against edgeworth-type alternatives

Cassart, Delphine; Hallin, Marc; Paindaveine, Davy - 2014

Persistent link: https://www.econbiz.de/10010483703

Specification Testing in Nonstationary Time Series Models

Chen, Jia; Gao, Jiti; Li, Degui; Lin, Zhengyan - Department of Economics and Related Studies, University … - 2014

values of the test statistic and establish a novel result of Edgeworth expansion which is used to justify the use of such an …

Persistent link: https://www.econbiz.de/10010932928

Optimal Rank Tests for Symmetry against Edgeworth-Type Alternatives

Hallin, Marc; Paindaveine, Davy; Cassart, Delphine - European Centre for Advanced Research in Economics and … - 2014

Persistent link: https://www.econbiz.de/10010942936

Improved Lagrange multiplier tests in spatial autoregressions

Robinson, Peter M.; Rossi, Francesca - London School of Economics (LSE) - 2014

samples. We develop refined tests for lack of spatial error correlation in regressions, based on Edgeworth expansion. In Monte …

Persistent link: https://www.econbiz.de/10011125890

On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity

Wang, Wenjie; Doko Tchatoka, Firmin - In: Journal of econometrics 207 (2018) 1, pp. 188-211

Persistent link: https://www.econbiz.de/10012116230

Edgeworth expansion for functionals of continuous diffusion processes

Podolskij, Mark; Yoshida, Nakahiro - School of Economics and Management, University of Aarhus - 2013

This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion … Edgeworth expansion for power variation of diffusion processes. Our methodology relies on martingale embedding, Malliavin …

Persistent link: https://www.econbiz.de/10010851189

Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

Poskitt, D.S.; Grose, Simone D.; Martin, Gael M. - Department of Econometrics and Business Statistics, … - 2013

normality does not obtain. Most importantly, the sieve bootstrap is shown to reproduce the (empirically infeasible) Edgeworth … expansion of the sampling distribution of the autocorrelation coefficients, in the part of the parameter space in which the …

Persistent link: https://www.econbiz.de/10010860410

Improved Quantile Inference Via Fixed-Smoothing Asymptotics And Edgeworth Expansion

Kaplan, David M. - Economics Department, University of Missouri - 2013

m that contains the Edgeworth expansion term capturing the variance of the quantile spacing. Consequently, the fixed … maximize power subject to size control, as calculated via Edgeworth expansion. Compared with similar methods, the new method …

Persistent link: https://www.econbiz.de/10010932942

Improved Lagrange Multiplier Tests in Spatial Autoregressions

Robinson, Peter M; Rossi, Francesca - Suntory and Toyota International Centres for Economics … - 2013

small samples. We develop refined tests for lack of spatial error correlation in regressions, based on Edgeworth expansion …

Persistent link: https://www.econbiz.de/10010729222

Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators

Lee, Seojeong - School of Economics, UNSW Business School - 2013

I propose a nonparametric iid bootstrap that achieves asymptotic refinements for t tests and confidence intervals based on the generalized method of moments (GMM) estimators even when the model is misspecified. In addition, my bootstrap does not require recentering the bootstrap moment function,...

Persistent link: https://www.econbiz.de/10010662763