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LM Tests of Spatial Dependence Based on Bootstrap Critical Values

Yang, Zhenlin - School of Economics, Singapore Management University - 2013

, residual-based bootstrap methods are introduced for asymptotically refined approximations to the finite sample critical values … conditions are not fully met, bootstrap may lead to unstable critical values that change significantly with the alternative …, whereas when all conditions are met, bootstrap critical values are very stable, approximate much better the finite sample …

Persistent link: https://www.econbiz.de/10010690406

A Combined Approach to the Inference of Conditional Factor Models

Li, Yan; Su, Liangjun; Xu, Yuewu - School of Economics, Singapore Management University - 2014

This paper develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature–the parametric approach and the nonparametric approach. Our combined approach...

Persistent link: https://www.econbiz.de/10010887081

Asymptotic Distribution and Finite-Sample Bias Correction of QML Estimators for Spatial Error Dependence Model

Liu, Shew Fan; Yang, Zhenlin - School of Economics, Singapore Management University - 2014

In studying the asymptotic and finite-sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....

Persistent link: https://www.econbiz.de/10010929725

Asymptotics and Bootstrap for Transformed Panel Data Regressions

Su, Liangjun; Yang, Zhenlin - School of Economics, Singapore Management University - 2009

bootstrap procedure that leads to a robust estimate of the variance-covariance matrix. Monte Carlo results reveal that these … estimates perform well in finite samples, and that the gains by using bootstrap procedure for inference can be enormous. …

Persistent link: https://www.econbiz.de/10005004017

Bias-Corrected Estimation for Spatial Autocorrelation

Yang, Zhenlin - School of Economics, Singapore Management University - 2010

the expectations of ratios of quadratic forms is overcome by a simple bootstrap procedure. With that, the corrections on …

Persistent link: https://www.econbiz.de/10008725929

Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes

Zhou, Qiankun; Yu, Jun - School of Economics, Singapore Management University - 2010

The asymptotic distributions of the least squares estimator of the mean reversion parameter (κ) are developed in a general class of diffusion models under three sampling schemes, namely, longspan, in-fill and the combination of long-span and in-fill. The models have an affine structure in the...

Persistent link: https://www.econbiz.de/10008725936

Bayesian Hypothesis Testing in Latent Variable Models

Li, Yong; Yu, Jun - School of Economics, Singapore Management University - 2011

Hypothesis testing using Bayes factors (BFs) is known not to be well dened under the improper prior. In the context of latent variable models, an additional problem with BFs is that they are difficult to compute. In this paper, a new Bayesian method, based on decision theory and the EM...

Persistent link: https://www.econbiz.de/10009274320

A Bayesian Chi-Squared Test for Hypothesis Testing

Li, Yong; Liu, Xiao-Bin; Yu, Jun - School of Economics, Singapore Management University - 2014

A new Bayesian test statistic is proposed to test a point null hypothesis based on a quadratic loss. The proposed test statistic may be regarded as the Bayesian version of Lagrange multiplier test. Its asymptotic distribution is obtained based on a set of regular conditions and follows a...

Persistent link: https://www.econbiz.de/10010797651

Deviance Information Criterion for Comparing VAR Models

Zeng, Tao; Li, Yong; Yu, Jun - School of Economics, Singapore Management University - 2014

Vector Autoregression (VAR) has been a standard empirical tool used in macroeconomics and finance. In this paper we discuss how to compare alternative VAR models after they are estimated by Bayesian MCMC methods. In particular we apply a robust version of deviance information criterion (RDIC)...

Persistent link: https://www.econbiz.de/10010801206

Robust Deviance Information Criterion for Latent Variable Models

Li, Yong; Tao, Zeng; Yu, Jun - School of Economics, Singapore Management University

It is shown in this paper that the data augmentation technique undermines the theoretical underpinnings of the deviance information criterion (DIC), a widely used information criterion for Bayesian model comparison, although it facilitates parameter estimation for latent variable models via...

Persistent link: https://www.econbiz.de/10010696252