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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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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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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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A test for the portion of bivariate dependence in multivariate tail risk
Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
. The asymptotic properties of the test are provided and a bootstrap based finite sample version of the test is suggested …
Persistent link: https://www.econbiz.de/10010246746
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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...
Persistent link: https://www.econbiz.de/10010533201
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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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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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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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Two independent pivotal statistics that test location and misspecification and add up to the Anderson-Rubin statistic
Kleibergen, Frank - 2002
We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv-otal statistics. One statistic is a score statistic that tests location and the other statistictests misspecification. The chi-squared distribution of the location statistic has a degreesof freedom parameter that is...
Persistent link: https://www.econbiz.de/10011326948
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On the exact finite sample distribution of the L1 -FCvM test statistic
Hinloopen, Jeroen - 2011
We derive the exact finite sample distribution of the L1-version ofthe Fisz-Cramér-von Mises test statistic (L1-FCvM). We first characterizethe set of all distinct sample p-p plots for two balanced sampleof size n absent ties. Next, we order this set according to the correspondingvalue of...
Persistent link: https://www.econbiz.de/10011386478