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Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation

Danielsson, J.; Haan, L. de; Peng, L.; Vries, C.G. de - Tinbergen Instituut - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the …

Persistent link: https://www.econbiz.de/10011257229

Tail Behavior of Credit Loss Distributions for General Latent Factor Models

Lucas, André; Klaassen, Pieter; Spreij, Peter; … - Tinbergen Instituut - 2001

Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...

Persistent link: https://www.econbiz.de/10011257011

Optimal Confidence Intervals for the Tail Index and High Quantiles

Ferreira, Ana; Vries, Casper G. de - Tinbergen Instituut - 2004

, but then a bias term with unknown sign has to be estimated. We provide an estimator for this sign and the full programme …. Simulation results are also presented.It is weIl known that extreme value parameter estimators which balance the asymptotic bias …

Persistent link: https://www.econbiz.de/10011257367

Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data

Gooijer, Jan G. de; Yuan, Ao - Tinbergen Instituut - 2011

results show excellent estimation accuracy in terms of bias, mean squared error, and confidence interval coverage. Typically …

Persistent link: https://www.econbiz.de/10011255547

On Distributions of Ratios

Broda, Simon A.; Kan, Raymond - Tinbergen Instituut - 2014

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

Persistent link: https://www.econbiz.de/10011255898

How to implement the Bootstrap in Static or Stable Dynamic Regression Models

Giersbergen, Noud P.A. van; Kiviet, Jan F. - Tinbergen Instituut - 2001

different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …

Persistent link: https://www.econbiz.de/10011256602

Tests for Serial Independence and Linearity based on Correlation Integrals

Diks, Cees; Manzan, Sebastiano - Tinbergen Instituut - 2001

determined with a permutation procedure and a parametric bootstrap in the testsfor serial independence and linearity …

Persistent link: https://www.econbiz.de/10011257371

A Comparison of Bias Approximations for the 2SLS Estimator

Bun, Maurice J.G.; Windmeijer, Frank - Tinbergen Instituut - 2011

="http://www.sciencedirect.com/science/article/pii/S0165176511002242">'Economics Letters'</A> 113(1), 76-79.<p> We consider the bias of the 2SLS estimator in the linear instrumental … coefficient estimation bias under various scenarios regarding the number and strength of instruments. …

Persistent link: https://www.econbiz.de/10011256466