Similar Search Results

Creating and Using a Non-Dedicated HPC Cluster with ParallelKnoppix

Creel, Michael; Barcelona, Universitat Autònoma de - Society for Computational Economics - SCE - 2006

shows how a Monte Carlo study of a bootstrap test procedure may be done in parallel. Using a cluster of 20 nodes, the …

Persistent link: https://www.econbiz.de/10005537430

Qin, Xiao; Tan, Gee Kwang Randolph - Society for Computational Economics - SCE - 2005

Diba and Grossman (1988) and Hamilton and Whiteman (1985) recommended unit root tests for rational bubbles. They argued that if stock prices are not more explosive than dividends, then it can be concluded that rational bubbles are not present. Evans (1991) demonstrated that these tests will fail...

Persistent link: https://www.econbiz.de/10005537502

A Broad-Spectrum Computational Approach for Market Efficiency

Brandouy, Olivier; Mathieu, Philippe - Society for Computational Economics - SCE - 2006

unavoidable problem in such broad-spectrum researches, using a rigorous Bootstrap Reality Check procedure. While market …

Persistent link: https://www.econbiz.de/10005706173

Extreme observations in developed and emerging equity markets

Grau-Carles, Pilar - Society for Computational Economics - SCE - 2006

shape estimates are inefficient unless the threshold is accurately determined. We will apply bootstrap methodology to select …

Persistent link: https://www.econbiz.de/10005706221

Test for long memory processes. A bootstrap approach

Grau-Carles, Pilar - Society for Computational Economics - SCE - 2004

Fluctuation Analysis). Some of these tests exhibit size distortions in small-samples. It is well known that the bootstrap … long memory such as ARFIMA, p-values are calculated using the post-blackening, moving block bootstrap. The Monte Carlo … studies suggest that the bootstrap critical values perform better. The results are applied to financial return time series. …

Persistent link: https://www.econbiz.de/10005706495

A New Interpretation of the Exchange Rate - Yield Differential Nexus

Wood, Andrew; Coakley, Jerry; Fuertes, Ana-Maria - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005706813

Breaking trend panel unit root tests

Tam, Pui Sun - Society for Computational Economics - SCE - 2006

analyzed for the case when the break dates are known and for the case when they are endogenously determined. A bootstrap test …

Persistent link: https://www.econbiz.de/10005132640

Bootstrapping Neural tests for conditional heteroskedasticity

Siani, Carole; Peretti, Christian de - Society for Computational Economics - SCE - 2006

nonstandard ARCH models. We develope parametric and nonparametric bootstrap tests based both on the LM statistic and a neural … problem using bootstrap methods, making possible a better finite-sample estimate of the distribution of the test statistic. A …

Persistent link: https://www.econbiz.de/10005132648

unilateral and bilateral bootstrap tests for long memory

Peretti, Christian de - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005132819

Forecasting Chilean Industrial Production and Sales with Automated Procedures

CHUMACERO, ROMULO A. - Society for Computational Economics - SCE - 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/10005345252