We investigate the relative merits of a moment-oriented bootstrap method of Bunke (1997) in comparison with the classical wild bootstrap of Wu (1986) in nonparametric heteroscedastic regression situations. The moment-oriented bootstrap is a wild bootstrap based on local estimators of higher...

A language of a statistical system is important, even though it bas an effective graphical user interface. A language may be used to control the statistical system at will and to implement new statistical procedures which are not realized in the system at the beginning. This paper introduces the...

We use ideas from estimating function theory to derive new, simply computed consistent covariance matrix estimates in nonparametric regression and in a class of semiparametric problems. Unlike other estimates in the literature, ours do not require auxiliary or additional nonparametric regressions.

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and...

Motivated by an example in nutritional epidemiology, we investigate some design and analysis aspects of linear measurement error models with missing surrogate data. The specific problem investigated consists of an initial large sample in which the response (a food frequency questionnaire, FFQ)...

Widespread concern over real effects of EMU is consistent with new Keynesian approaches to macroeconomic fluctuations, but more difficult to reconcile with a real business cycle (RBC) paradigm. Using a model with frictions as a point of departure, I argue that nominal price rigidity in Europe is...