Showing 1 - 10 of 13
Stock returns exhibit heavy tails and volatility clustering. These features, motivating the use of GARCH models, make it difficult to predict times and sizes of losses that might occur. Estimation of losses, like the Value-at-Risk, often assume that returns, normalized by the level of...
Persistent link: https://www.econbiz.de/10005511918
between nominal and actual finite sample significance levels. The use of the bootstrap overcomes this problem for general … approaches that lead to asymptotically pivotal test statistics. Power comparisons are made for bootstrap tests and modified …
Persistent link: https://www.econbiz.de/10005511948
This paper uses Monte Carlo simulation analysis to study the finite-sample behavior of bootstrap estimators and tests … tailored to handle heteroskedasticity. Our results show that weighted bootstrap methods can be successfully used to estimate … test and of Bartlett and Edgeworth-corrected tests. The bootstrap test was found to be robust against unfavorable …
Persistent link: https://www.econbiz.de/10005511950
The main contribution of this paper is a proof of the asymptotic validity of the application of the bootstrap to AR … establishing that a suitably constructed bootstrap estimator will have the same limit distribution as the least-squares estimator … robust standard errors or the bootstrap approximation of the distribution of autoregressive parameters. A simulation study …
Persistent link: https://www.econbiz.de/10005511987
results suggest that applied researchers are best off using nonparametric bootstrap intervals for impulse responses …
Persistent link: https://www.econbiz.de/10005476109
Persistent link: https://www.econbiz.de/10005476192
bootstrap tests are employed, assuming that the conditional means and variances of the model are correctly specified. The …
Persistent link: https://www.econbiz.de/10005644513
practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results asymptotically. …
Persistent link: https://www.econbiz.de/10005292321
The challenge of the econometric problem in production efficiency analysis is that the efficiency scores to be analyzed are unobserved. Statistical properties have recently been discovered for a type of estimator popular in the literature, known as data envelopment analysis (DEA). This opens up...
Persistent link: https://www.econbiz.de/10009228492
In this paper we compare Bartlett-corrected, bootstrap, and fast double bootstrap tests on maximum likelihood estimates … of cointegration parameters. The key result is that both the bootstrap and the Bartlett-corrected tests must be based on … sizes commonly available; the fast double bootstrap test minimizes size bias, while the Bartlett-corrected test is somehow …
Persistent link: https://www.econbiz.de/10009228532