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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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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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Using turning point information to study economic dynamics
Harding, Don - Econometric Society - 2004
Procedures are developed to compute the proportion of turning points located in the sample path of time series data. It is shown that the proportion of turning points can be directly related to the data generating process. Methods for estimating model parameters are developed using counts of...
Persistent link: https://www.econbiz.de/10005063634
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Some Bootstrap Tests for Non-linearity and Long Memory in Financial Time Series
Wolff, Rodney C; Barnett, Adrian G - Econometric Society - 2004
-smoothing and discarding pertinent information. In this presentation, we present some bootstrap tests for non-linearity in a time …
Persistent link: https://www.econbiz.de/10005702559
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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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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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Forecasting Chilean Industrial Production with Automated Procedures
CHUMACERO, ROMULO A. - Econometric Society - 2004
This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate linear models perform about as well for almost every...
Persistent link: https://www.econbiz.de/10005328915