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Bootstrap specification test for diffusion processes

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource]

that reflect data dependence and parameter estimation error (PEE). In order to obtain asymptotically valid critical values …

Persistent link: https://www.econbiz.de/10001848918

An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series

Bhardwaj, Geetesh (contributor); … - 2004 - [Elektronische Ressource], rev

examined by Ding, Granger and Engle (1993) that suggests that ARFIMA models estimated using a variety of standard estimation … estimation schemes. The strongest evidence in favor of ARFIMA models arises when various transformations of 5 major stock index …

Persistent link: https://www.econbiz.de/10002432981

Forecasting economic and financial time-series with non-linear models

Clements, Michael P. (contributor); … - 2003 - [Elektronische Ressource]

In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection,...

Persistent link: https://www.econbiz.de/10001848639

Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource], Rev

parameter estimation error. Thus, the limiting distribution is not nuisance parameter free, and critical values cannot be …

Persistent link: https://www.econbiz.de/10001848913

The effect of data transformation on common cycle, cointegration, and unit root tests : Monte Carlo results and a simple test

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource], Rev

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related test statistics are often constructed using logged data, even though there is often no clear reason, at least from an empirical perspective, why logs should be used rather than levels....

Persistent link: https://www.econbiz.de/10001848931

Predictive density evaluation

Corradi, Valentina (contributor); … - 2004 - [Elektronische Ressource]

This Chapter discusses estimation, specification testing, and model selection of predictive density models. In … particular, predictive density estimation is briefly discussed. And a variety of different specifications and model evaluation …

Persistent link: https://www.econbiz.de/10002432791

Consistent estimation with a large number of weak instruments

Chao, John C. (contributor); Swanson, Norman R. (contributor) - 2004 - [Elektronische Ressource], rev

This paper analyzes the conditions under which consistent estimation can be achieved in instrumental Variables (IV … (JIVE) establishes that consistent estimation depends importantly on the relative magnitudes of rn, the growth rate of the … the use of many instruments may be beneficial for estimation, as the resulting concentration parameter growth may allow …

Persistent link: https://www.econbiz.de/10002432934

Asymptotic normality of single-equation estimators for the case with a large number of weak instruments

Chao, John C. (contributor); Swanson, Norman R. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001848647

The block bootstrap for parameter estimation error in recursive estimation schemes, with applications to predictive evaluation

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001848668

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction

Chao, John C. (contributor); Swanson, Norman R. (contributor) - 2003 - [Elektronische Ressource]

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

Persistent link: https://www.econbiz.de/10001848868