Showing 1 - 10 of 237
In this work, we introduce a smoothed influence function that constitute a theoretical tool for studying the outliers robustness properties of a large class of nonparametric estimators. With this tool, we first show the nonrobustness of the Nadaraya-Watson estimator of regression. Then we show...
Persistent link: https://www.econbiz.de/10009626684
often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical …. Special emphasis is placed on systems with cointegrated variables. -- monetary policy ; bootstrap ; impulse response ; money …
Persistent link: https://www.econbiz.de/10009580485
use quantities derived from the parameters to disentangle the relationships between the variables. Bootstrap methods are … often used for inference on the derived quantities. Alternative bootstrap methods for this purpose are discussed, some … problems are presented. -- Impulse response ; bootstrap ; vector autoregression ; confidence interval …
Persistent link: https://www.econbiz.de/10009583428
conditional heteroskedasticity. We show that the wild bootstrap provides convenient critical values for the considered OLS …-based statistics under both homoskedastic and conditionally heteroskedastic model errors. The wild bootstrap is easy to implement and … approximations. We prove further that the wild bootstrap retains its validity for inference within a system of pooled equations …
Persistent link: https://www.econbiz.de/10009612036
problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …
Persistent link: https://www.econbiz.de/10009582392
alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …
Persistent link: https://www.econbiz.de/10009612011
factors representing "shift" and "curvature" of the term structure of "at the money" DAX options. We present a risk management …
Persistent link: https://www.econbiz.de/10009612026
bootstrap resampling technique. The method is illustrated on S&P 500 index data. -- Identification, Bootstrap, Diffusion …
Persistent link: https://www.econbiz.de/10009613611
We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the...
Persistent link: https://www.econbiz.de/10009612018
Classical parametric estimation methods applied to nonlinear regression and limited-dependent-variable models are very … restricted by parametric assumptions, require more data and are less efficient. A third possible estimation approach is based on … ; limited-dependent-variable models ; nonlinear regression ; robust estimation …
Persistent link: https://www.econbiz.de/10009618360