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Seeking ergodicity in dynamic economies
Kamihigashi, Takashi; Stachurski, John - 2015
Persistent link: https://www.econbiz.de/10011393043
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Comprehensive definitions of breakdown-points for independent and dependent observations
Genton, Marc G.; Lucas, André - 2000
We provide a new definition of breakdown in finite samples with an extension to asymptotic breakdown. Previous definitions center around defining a critical region for either the parameter or the objective function. If for a particular outlier constellation the critical region is entered,...
Persistent link: https://www.econbiz.de/10011303297
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Seeking ergodicity in dynamic economies
Kamihigashi, Takashi; Stachurski, John - 2014
Persistent link: https://www.econbiz.de/10010378814
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Seeking ergodicity in dynamic economies
Kamihigashi, Takashi; Stachurski, John - 2014
Persistent link: https://www.econbiz.de/10010256896
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Simple, robust, and accurate F and t tests in cointegrated systems
Hwang, Jungbin; Sun, Yixiao - 2016 - This version: December 31, 2015
This paper proposes new, simple, and more accurate statistical tests in a cointegrated system that allows for endogenous regressors and serially dependent errors. The approach involves first transforming the time series using some orthonormal basis functions in L2[0,1], which has energy...
Persistent link: https://www.econbiz.de/10011441958
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Seeking ergodicity in dynamic economies
Kamihigashi, Takashi; Stachurski, John - 2014 - November 21, 2014
Persistent link: https://www.econbiz.de/10010476425
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Small sample properties of tests on homogeneity in one-way Anova and meta-analysis
Hartung, Joachim; Argaç, Dog̃an; Makambi, Kepher H. - 2001
Persistent link: https://www.econbiz.de/10001626865
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Comparison of Bayesian and Sample Theory Semi-Parametric Binary Response Model
Shen, Xiangjin - 2018
A Bayesian semi-parametric estimation of the binary response model using Markov Chain Monte Carlo algorithms is proposed. The performances of the parametric and semi-parametric models are presented. The mean squared errors, receiver operating characteristic curve, and the marginal effect are...
Persistent link: https://www.econbiz.de/10012938425
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Importance Sampling Squared for Bayesian Inference in Latent Variable Models
Tran, Minh-Ngoc - 2014
We consider Bayesian inference by importance sampling when the likelihood is analytically intractable but can be … unbiasedly estimated. We refer to this procedure as importance sampling squared (IS2), as we can often estimate the likelihood … itself by importance sampling. We provide a formal justification for importance sampling when working with an estimate of the …
Persistent link: https://www.econbiz.de/10013059994
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Comparing Predictive Accuracy in Small Samples Using Fixed-Smoothing Asymptotics
Coroneo, Laura - 2018
We consider fixed-smoothing asymptotics for the Diebold and Mariano (1995) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out of sample observations are available. We apply the fixed-smoothing...
Persistent link: https://www.econbiz.de/10012934974