Similar Search Results

Multivariate exponential smoothing: A Bayesian forecast approach based on simulation

Bermúdez, José D.; Corberán-Vallet, Ana; Vercher, … - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 5, pp. 1761-1769

This paper deals with the prediction of time series with correlated errors at each time point using a Bayesian forecast approach based on the multivariate Holt–Winters model. Assuming that each of the univariate time series comes from the univariate Holt–Winters model, all of them sharing a...

Persistent link: https://www.econbiz.de/10011050514

The discontinuous trend unit root test when the break point is misspecified

Morimune, Kimio; Nakagawa, Mitsuru - In: Mathematics and Computers in Simulation (MATCOM) 48 (1999) 4, pp. 417-427

Dickey and Fuller proposed some tests for the unit root hypothesis in uni-variate time series. [P. Perron, The great crash, the oil price shock, and the unit root hypothesis, Econometrica 57 (1989) 1361–1401] extended the t-ratio type unit root tests so that they allow for a break in the...

Persistent link: https://www.econbiz.de/10010749207

Bootstrap tests for fractional integration and cointegration: A comparison study

Franco, G.C.; Reisen, V.A.; Alves, F.A. - In: Mathematics and Computers in Simulation (MATCOM) 87 (2013) C, pp. 19-29

bootstrap technique is used here to approximate the distribution of integration and cointegration test statistics based on a … semiparametric estimator of the fractional parameter of ARFIMA(p,d,q) models. The proposed bootstrap tests, along with the asymptotic …

Persistent link: https://www.econbiz.de/10010751886

Inference in stochastic frontier analysis with dependent error terms

El Mehdi, Rachida; Hafner, Christian M. - In: Mathematics and Computers in Simulation (MATCOM) 102 (2014) C, pp. 131-143

bootstrap algorithm which is suitable for the dependence case. This allows us to estimate the efficiency percentile confidence …

Persistent link: https://www.econbiz.de/10010870390

Inference in stochastic frontier analysis with dependent error terms

El Mehdi, Rachida; Hafner, Christian M. - In: Mathematics and Computers in Simulation (MATCOM) 102 (2014) C, pp. 104-116

bootstrap algorithm which is suitable for the dependence case. This allows us to estimate the efficiency percentile confidence …

Persistent link: https://www.econbiz.de/10010785223

Multiple forecasts with autoregressive time series models: case studies

Chan, W.S; Cheung, S.H; Wu, K.H - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 3, pp. 421-430

normality which are commonly encountered in business and economic time series. In this article, we explore the bootstrap methods … proposed bootstrap procedures, several macro-economic time series are selected for illustrative purposes. The selected series …

Persistent link: https://www.econbiz.de/10010748479

The mixed trunsored model with applications to SARS

Hirose, Hideo - In: Mathematics and Computers in Simulation (MATCOM) 74 (2007) 6, pp. 443-453

The trunsored model, which is a new incomplete data model regarded as a unified model of the censored and truncated models in lifetime analysis, can not only estimate the ratio of the fragile population to the mixed fragile and durable populations or the cured and fatal mixed populations, but...

Persistent link: https://www.econbiz.de/10010748733

Modified tests for variance changes in autoregressive regression

Jin, Hao; Zhang, Jinsuo - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 6, pp. 1099-1109

residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the bootstrap method introduced to eliminate the …

Persistent link: https://www.econbiz.de/10010749105

Kernel order selection by minimum bootstrapped MSE for density weighted averages

Nishiyama, Y. - In: Mathematics and Computers in Simulation (MATCOM) 69 (2005) 1, pp. 113-122

. This paper proposes to select the bandwidth and kernel order simultaneously by minimizing bootstrap mean squared error for … a plug-in estimator of density weighted averages. We show that standard bootstrap does not work at all for bias … approximation as in density estimation, but smoothed bootstrap is useful in our problem if suitably transformed. …

Persistent link: https://www.econbiz.de/10010749147

Using discrete-time techniques to test continuous-time models for nonlinearity in drift

Becker, R.; Hurn, A.S. - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 1, pp. 121-131

This paper examines whether or not a discrete-time econometric test for nonlinearity in mean may be used in cases where the data are believed to be generated in continuous time. It is demonstrated that appropriate bootstrapping techniques are required to yield a test statistic with sensible...

Persistent link: https://www.econbiz.de/10010749292