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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

Confidence Intervals in High-Dimensional Regression Based on Regularized Pseudoinverses

Boot, Tom; Nibbering, Didier - 2017

In modern data sets, the number of available variables can greatly exceed the number of observations. In this paper we show how valid confidence intervals can be constructed by approximating the inverse covariance matrix by a scaled Moore-Penrose pseudoinverse, and using the lasso to perform a...

Persistent link: https://www.econbiz.de/10011621515

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10011301159

Judging contending estimators by simulation : tournaments in dynamic panel data models

Kiviet, J. F. - 2005

their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their … background we criticize aspects of many simulation studies that have been used in the past to compare competing estimators for … simulation design inspired by an analysis of the (non-)invariance properties of estimators and occasionally by available higher …

Persistent link: https://www.econbiz.de/10011348362

Penalized indirect inference

Blasques, Francisco; Duplinskiy, Artem - 2015

Parameter estimates of structural economic models are often difficult to interpret at the light of the underlying economic theory. Bayesian methods have become increasingly popular as a tool for conducting inference on structural models since priors offer a way to exert control over the...

Persistent link: https://www.econbiz.de/10010464781

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 …

Persistent link: https://www.econbiz.de/10011372995

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

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

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10011379469

Spurious regression, cointegration, and near cointegration : a unifying approach

Haldrup, Niels; Jansson, Michael - 1999

This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...

Persistent link: https://www.econbiz.de/10011300555

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