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Tests for serial independence and linearity based on correlation integrals
Diks, Cees G. H.; Manzan, Sebastiano - 2001
determined with a permutation procedure and a parametric bootstrap in the testsfor serial independence and linearity …
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
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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Kernel-smoothed conditional quantiles of correlated bivariate discrete data
Gooijer, Jan G. de; Yuan, Ao - 2011
Often socio-economic variables are measured on a discrete scale or rounded to protect confidentiality. Nevertheless, when exploring the effect of a relevant covariate on the whole outcome distribution of a discrete response variable, virtually all common quantile regression methods require the...
Persistent link: https://www.econbiz.de/10011382707
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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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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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Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter; Zu, Yang - 2019
size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere … and depends on the volatility process; we show that various bootstrap implementations may be used to conduct …
Persistent link: https://www.econbiz.de/10012026102
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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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Robust bootstrap inference for linear time-varying coefficient models : some Monte Carlo evidence
Lin, Yicong; Song, Mingxuan - 2023
We propose two robust bootstrap-based simultaneous inference methods for time series models featuring time …. We find that the proposed moving block bootstrap and sieve wild bootstrap methods show superior, robust small sample … performance, in terms of empirical coverage and length, compared to the sieve bootstrap introduced by Friedrich and Lin (2022) for …
Persistent link: https://www.econbiz.de/10014335549
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Bootstrapping trending timevarying coefficient panel models with missing observations
Lin, Yicong; Sluis, Bernhard van der; Friedrich, Marina - 2023
values and depends on various nuisance parameters. An autoregressive wild bootstrap (AWB) is proposed to construct confidence …
Persistent link: https://www.econbiz.de/10014442008
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Bootstrapping GARCH models under dependent innovations
Beutner, Eric; Schaumburg, Julia; Spanjers, Barend - 2024
This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for GARCH models under … dependent innovations. We introduce a novel recursive-design residual block bootstrap procedure to accurately quantify the … recursive-design residual block bootstrap in the presence of dependent innovations. The resulting bootstrap confidence intervals …
Persistent link: https://www.econbiz.de/10014457811