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Which Extreme Values are Really Extremes?
Olmo, Jose; Gonzalo, Jesus - Econometric Society - 2004
The aim of this paper is to give a formal definition and consistent estimates of the extremes of a population. This definition relies on a threshold value that delimits the extremes and on the uniform convergence of the distribution of these extremes to a Pareto type distribution. The tail...
Persistent link: https://www.econbiz.de/10005699657
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Discounting The Equity Premium Puzzle
Martin, Vance; Lim, G.C.; Maasoumi, Esfandiar - Econometric Society - 2004
This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasoumi and Whang (2003) to reexamine the equity premium puzzle. An advantage of this nonparametric framework is that it provides a means to assess whether the existence of a premium is due to an...
Persistent link: https://www.econbiz.de/10005130156
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Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
Urga, Giovanni; Peretti, Christian de - Econometric Society - 2004
samples are repeated until a criterion for stopping is satisfied. In this paper we propose bootstrap tests as criterion for …
Persistent link: https://www.econbiz.de/10005328868
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Taking a New Contour: A Novel Approach to Panel Unit Root Tests
Chang, Yoosoon - Econometric Society - 2004
-sectional units, which may be obtained through the standard bootstrap method. Consequently, we may conveniently use various …
Persistent link: https://www.econbiz.de/10005342316
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Bootstrap correcting the score test
Hoorelbeke, Dirk - Econometric Society - 2004
. One can use the bootstrap distribution of the score test statistic to obtain a critical value. This can give already … value. Since the score test statistic is asymptotically pivotal, the bootstrap critical value is second-order correct … matrix used in the quadratic form. In this paper we propose a bootstrap-based method to obtain both a second-order correct …
Persistent link: https://www.econbiz.de/10005702655
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Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity
Prodan, Ruxandra - Econometric Society - 2004
) structural change test, where we calculate bootstrap critical values. While the size is correct, his sequential method lacks …
Persistent link: https://www.econbiz.de/10005702663
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The Spatial Analysis of Time Series
Park, Joon Y. - Econometric Society - 2004
In this paper, we propose a method of analyzing time series in the spatial domain. The analysis is based on the inference on the local time and its expectation. Both for the stationary and nonstationary time series, the spatial distributions are provided by the local time, and some of their...
Persistent link: https://www.econbiz.de/10005329026
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JACKSTRAPPING DEA SCORES FOR ROBUST EFFICIENCY MEASUREMENT
Ribeiro, Darcy; Sousa, Maria da Conceição Sampaio de - Econometric Society - 2004
Bootstrap resampling schemes. First, an algorithm implementing jackknife is used to extract leverage for all data points, that …, Bootstrap resampling is implemented, taking into account leverage information. This approach proved to be robust to the presence …
Persistent link: https://www.econbiz.de/10005129766
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Partial Identification of Poverty Measures with Contaminated Data
Campo, Juan Carlos Chavez-Martin del - Econometric Society - 2004
Much of the statistical analysis for poverty measurement regards the data employed to estimate poverty statistics as error-free observations. However, it is amply recognized that surveys responses are not perfectly reliable and that the quality of the data is often poor, especially for...
Persistent link: https://www.econbiz.de/10005328859
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Consistent Nonparametric Tests for Lorenz Dominance
Donald, Stephen G.; Barrett, Garry F. - Econometric Society - 2004
second is based on the nonparametric bootstrap. We examine the performance of the methods in a Monte Carlo study and with a …
Persistent link: https://www.econbiz.de/10005342152