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A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014
A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken "directly" from the observed data. The procedure is useful when one wants to summarize the test results for several time...
Persistent link: https://www.econbiz.de/10010250513
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The bias of the Gini coefficient due to grouping
Van Ourti, Tom; Clarke, Philip M. - 2008
We propose a first order bias correction term for the Gini index to reduce the bias due to grouping. The first order … correction term is obtained from studying the estimator of the Gini index within a measurement error framework. In addition, it … reveals an intuitive formula for the remaining second order bias which is useful in empirical analyses. We analyze the …
Persistent link: https://www.econbiz.de/10011377108
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On the ambiguous consequences of omitting variables
De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2015
-generation process, the least-squares estimators have smaller bias (in fact zero bias) but larger variances in the long regression than … in the short regression. But if the long regression is also misspecified, the bias may not be smaller. We provide bias …
Persistent link: https://www.econbiz.de/10010532602
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Tests for serial independence and linearity based on correlation integrals
Diks, Cees G. H.; Manzan, Sebastiano - 2001
We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...
Persistent link: https://www.econbiz.de/10011317443
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How to implement the bootstrap in static or stable dynamic regression models
Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10011325661
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On distributions of ratios
Broda, Simon A.; Kan, Raymond - 2013
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/10010227300
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A bootstrap-based method to achieve optimality in estimating the extreme-value index
Haan, Laurens de; Peng, Liang; Pereira, T. Themido - 1997
Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved...
Persistent link: https://www.econbiz.de/10010342310
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Kernel-smoothed conditional quantiles of correlated bivariate discrete data
Gooijer, Jan G. de; Yuan, Ao - 2011
results show excellent estimation accuracy in terms of bias, mean squared error, and confidence interval coverage. Typically …
Persistent link: https://www.econbiz.de/10011382707
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Sieve bootstrap inference for time-varying coefficient models
Friedrich, Marina; Lin, Yicong - 2021
We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient regression models based on a nonparametric local linear estimator. The asymptotic validity of the sieve bootstrap in the presence of autocorrelation is established. We find that it...
Persistent link: https://www.econbiz.de/10012795376
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Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter; Zu, Yang - 2019
This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional cointegration tests,...
Persistent link: https://www.econbiz.de/10012026102