Showing 1 - 10 of 66
scale adjustment. This bias is often unrecognized because it only affects the bootstrap estimates of the error variance, not … example from the literature, the bootstrap error variance bias can have significant distorting effects on bootstrap IRF …Constructing bootstrap confidence intervals for impulse response functions (IRFs) from structural vector autoregression …
Persistent link: https://www.econbiz.de/10008550553
Extreme Value Theory is increasingly used in the modelling of financial time series. The non-normality of stock returns leads to the search for alternative distributions that allows skewness and leptokurtic behavior. One of the most used distributions is the Pareto Distribution because it allows...
Persistent link: https://www.econbiz.de/10009652020
Power law behavior has been recognized to be a pervasive feature of many phenomena in natural and social sciences. While immense research efforts have been devoted to the analysis of behavioral mechanisms responsible for the ubiquity of power-law scaling, the strong theoretical foundation of...
Persistent link: https://www.econbiz.de/10008614996
We analyze the cross-sectional differences in the tail risk of equity returns and identify the drivers of tail risk. We provide two statistical procedures to test the hypothesis of cross-sectional downside tail shape homogeneity. An empirical study of 230 US non-financial firms shows that...
Persistent link: https://www.econbiz.de/10011109466
Dwivedi and Srivastava (1984, DS) studied the exact finite sample properties of Nagar’s (1962) double k-class estimator as continuous functions of its two characterizing scalars k1 and k2, and provided guidelines for their choice in empirical work. In this note we show that the empirical...
Persistent link: https://www.econbiz.de/10008536075
treated in the compilation of a house price index. An empirical bootstrap study, based on advertised co-operative flats in …
Persistent link: https://www.econbiz.de/10011258955
, particularly when small samples are used. In addition, an upward bias is present due to dimensionality issues when the sample size … cannot be considered as reliable measures. The DEA Bootstrap addresses this limitation of the DEA method as it provides the … efficiency scores with stochastic properties. However, the DEA Bootstrap is still inappropriate in the presence of small samples …
Persistent link: https://www.econbiz.de/10011260496
an adverse impact on the efficiency level of state-owned banks. The bootstrap approach demonstrates that the majority of …
Persistent link: https://www.econbiz.de/10011260807
This paper utilizes the bootstrap to construct tests using the measures for goodness-of-fit for nonnested regression … models. The bootstrap enables us to compute the statistical significance of the differences in the measures and to formally … test on nonnested regression models. The bootstrap tests that this paper proposes are expected to show better finite sample …
Persistent link: https://www.econbiz.de/10005260238
nonparametric kernel SFA estimator of Fan, Li and Weersink (1996) to the nonparametric bias corrected DEA estimator of Kneip, Simar …
Persistent link: https://www.econbiz.de/10009322640