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Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten - 2006

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also …

Persistent link: https://www.econbiz.de/10010263621

Change point and trend analyses of annual expectile curves of tropical storms

Burdejova, Petra; Härdle, Wolfgang Karl; Kokoszka, Piotr; … - 2015

Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology can be applied to data which can be represented as annual curves which evolve...

Persistent link: https://www.econbiz.de/10011335463

Panel cointegration testing in the presence of a time trend

Droge, Bernd; Örsal, Deniz Dilan Karaman - 2009

The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear time trend in the data generating process. This new test is an extension of the likelihood ratio (LR) test of Saikkonen & Lütkepohl (2000) for trend-adjusted data to the panel...

Persistent link: https://www.econbiz.de/10010265669

Conditional complexity of compression for authorship attribution

Malyutov, Mikhail B.; Wickramasinghe, Chammi Irosha; … - 2007

We introduce new stylometry tools based on the sliced conditional compression complexity of literary texts which are inspired by the nearly optimal application of the incomputable Kolmogorov conditional complexity (and presumably approximates it). Whereas other stylometry tools can occasionally...

Persistent link: https://www.econbiz.de/10010277239

Panel CointegrationTesting in the Presenceof a Time Trend

Droge, Bernd; Karaman Örsal, Deniz Dilan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

The purpose of this paper is to propose a new likelihood-based panel cointegration testin the presence of a linear time trend in the data generating process. This new test is an extensionof the likelihood ratio (LR) test of Saikkonen & L¨utkepohl (2000) for trend-adjusteddata to the panel data...

Persistent link: https://www.econbiz.de/10008939793

Confidence corridors for multivariate generalized quantile regression

Chao, Shih-kang; Proksch, Katharina; Dette, Holger; … - 2014

coverage for small sample sizes, a simple bootstrap procedure is designed based on the leading term of the Bahadur … demonstrated that the bootstrap procedure considerably outperforms the asymptotic bands in terms of coverage accuracy. Finally, the … bootstrap confidence corridors are used to study the efficacy of the National Supported Work Demonstration, which is a …

Persistent link: https://www.econbiz.de/10010427054

Finite sample properties of impulse response intervals in SVECMs with long-run identifying restrictions

Brüggemann, Ralf - 2006

impulse responses, a standard percentile (Efron) bootstrap interval, Hall's percentile and Hall's studentized bootstrap … little to choose between the asymptotic and the Hall bootstrap intervals in SVECMs. In contrast, the Efron bootstrap interval …

Persistent link: https://www.econbiz.de/10010263627

Testing missing at random using instrumental variables

Breunig, Christoph - 2015

This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic's...

Persistent link: https://www.econbiz.de/10011335476

Robust estimation and inference for threshold models with integrated regressors

Chen, Haiqiang - 2013

This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

Persistent link: https://www.econbiz.de/10010330970

Goodness-of-fit test for specification of semiparametric copula dependence models

Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between in-sample and out-of-sample pseudolikelihoods, which avoids the use of any probability integral transformations. Under the...

Persistent link: https://www.econbiz.de/10010331132