Showing 1 - 10 of 21
This paper evaluates the performance of a recently emerging multivariate quadrature-based Sparse Grids Integration (SGI) and the well-known Geweke–Hajivassiliou–Keane (GHK) simulator in estimating multivariate binary probit models. Monte Carlo exercises demonstrate that in lower dimension...
Persistent link: https://www.econbiz.de/10011189521
This note shows that two ways of simulation based bias correction–indirect inference and bootstrap bias correction–are equivalent for two-stage-least-squares, as well as k-class estimators for the standard linear model with endogenous regressors.
Persistent link: https://www.econbiz.de/10010776618
In this paper we extend the FMLS-based CUSUM cointegration test (Xiao and Phillips, 2002) for testing the smooth time-varying cointegration null hypothesis. For this purpose we use Chebyshev time polynomials to specify time-varying coefficients under the null. We derive the limiting distribution...
Persistent link: https://www.econbiz.de/10011076529
The paper studies the interaction between aggregation and persistence pertaining to skip sampling of stock variables as well as temporal aggregation of flow variables for the generalized fractional processes. We show that, for skip sampling, the long memory feature at the zero frequency can...
Persistent link: https://www.econbiz.de/10010933290
We examine finite sample properties of estimators for approximate factor models when N is small. Contrary to the “rule-of-thumb”, we find that the principal component analysis estimator and the quasi-maximum likelihood estimator perform well even when N is small.
Persistent link: https://www.econbiz.de/10011041573
This paper considers a multivariate extension of the test for neglected nonlinearity proposed by Tsay (1986) that uses principal components to overcome the problem of dimensionality that is common with tests of this type. Monte Carlo experiments reveal that the modified multivariate test...
Persistent link: https://www.econbiz.de/10011041605
We develop a sieve bootstrap range test for poolability of cointegrating regressions in dependent panels and evaluate by simulation its performances. The test seems to have good size and power properties even with small cross-sections, moderate time samples, and low heterogeneity.
Persistent link: https://www.econbiz.de/10011041703
The commonly-used version of the double-hurdle model rests on a rather restrictive set of statistical assumptions, which are very seldom tested by practitioners, mainly because of the lack of a standard procedure for doing so, although violation of such assumptions can lead to serious modelling...
Persistent link: https://www.econbiz.de/10010743732
A simple Monte Carlo calibration approach is implemented in a GE model with uninsurable employment risk to quantitatively study the optimal replacement rate of a public unemployment insurance (UI) scheme. The optimal UI sampling distribution is found to be bimodal.
Persistent link: https://www.econbiz.de/10010580487
The properties of an iterative procedure for the estimation of the parameters of an ARFIMA process are investigated in a Monte Carlo study. The estimation procedure is applied to stock returns data for 15 countries.
Persistent link: https://www.econbiz.de/10010580519