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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

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

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

Bagging Time Series Models

Kilian, Lutz; Inoue, Atsushi - Econometric Society - 2004

have only weak explanatory power. We propose bootstrap aggregation of pre-test predictors (or bagging for short) as a means …

Persistent link: https://www.econbiz.de/10005342193

Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap

Kleibergen, Frank - Econometric Society - 2004

distribution shows that the bootstrap reduces the size distortion. We compute power curves for tests on the autocorrelation … results from applying the bootstrap …

Persistent link: https://www.econbiz.de/10005342218

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

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

Testing for structural change in regression with long memory processes

Lazarova, Stepana - Econometric Society - 2004

approximated by a bootstrap procedure. The asymptotic validity of bootstrap is shown and performance of the testing procedure is …

Persistent link: https://www.econbiz.de/10005063603

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

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