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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
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/10011325661
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Identification and inference in a simultaneous equation under alternative information sets and sampling schemes
Kiviet, J. F. - 2012
Persistent link: https://www.econbiz.de/10010190991
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Fractional cointegration rank estimation
Lasak, Katarzyna; Velasco, Carlos - 2014
We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The first step consists in estimating the...
Persistent link: https://www.econbiz.de/10010244531
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Fully modified estimation in cointegrating polynomial regressions : extensions and Monte Carlo comparison
Lin, Yicong; Reuvers, Hanno - 2022
We study a set of fully modified (FM) estimators in multivariate cointegrating polynomial regressions. Such regressions allow for deterministic trends, stochastic trends, and integer powers of stochastic trends to enter the cointegrating relations. A new feasible generalized least squares...
Persistent link: https://www.econbiz.de/10013463978
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Cointegrating Polynomial Regressions With Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?
Lin, Yicong; Reuvers, Hanno - 2022
The environmental Kuznets curve predicts an inverted U-shaped relationship between air pollution and economic growth. Current analyses frequently employ models that restrict nonlinearities in the data to be explained by economic growth only. We propose a Global Trend Augmented Cointegrating...
Persistent link: https://www.econbiz.de/10013463979
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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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Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix
Bun, Maurice J. G. - 2001
Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models with general covariancestructure. The focus is on...
Persistent link: https://www.econbiz.de/10011313930
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Bootstrapping non-stationary stochastic volatility
Boswijk, Herman Peter; Cavaliere, Giuseppe; Georgiev, Iliyan - 2019
To what extent can the bootstrap be applied to conditional mean models | such as regression or time series models … financial time series displays persistent changes and possible non-stationarity. However, the theory of the bootstrap for such … validity of the bootstrap when the volatility is driven by a non-stationary stochastic process. This includes near …
Persistent link: https://www.econbiz.de/10012129325
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The impact of effect size heterogeneity on meta-analysis : a Monte Carlo experiment
Koetse, Mark J.; Florax, Raymond J. G. M.; Groot, Henri … - 2007
In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a meta-analysis. Specifically, we address the small sample behaviour of the OLS, the fixed effects regression and the mixed effects meta-estimators under three alternative...
Persistent link: https://www.econbiz.de/10011372995
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Theory and application of an economic performance measure of risk
Niu, Cuizhen; Guo, Xu; McAleer, Michael; Wong, Wing Keung - 2017
Homm and Pigorsch (2012a) use the Aumann and Serrano index to develop a new economic performance measure (EPM), which is well known to have advantages over other measures. In this paper, we extend the theory by constructing a one-sample confidence interval of EPM, and construct confidence...
Persistent link: https://www.econbiz.de/10011688326