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Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms

Trenkler, Carsten - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005207940

Conditional Complexity of Compression for Authorship Attribution

Malyutov, Mikhail B.; Wickramasinghe, Chammi I.; Li, Sufeng - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005678030

Panel Cointegration Testing in the Presence of a Time Trend

Droge, Bernd; Örsal, Deniz Dilan Karaman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005652726

Confidence Corridors for Multivariate Generalized Quantile Regression

Chao, Shih-Kang; Proksch, Katharina; Dette, Holger; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10010772306

Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions

Brüggemann, Ralf - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005677903

Testing Missing at Random using Instrumental Variables

Breunig, Christoph - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10011212947

Brand equity – how is it affected by critical incidents and what moderates the effect

Tischer, Sven; Hildebrandt, Lutz - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

To explore how occurring critical incidents affect customer-brand relations, this study measures the impact on the basis of an online experiment. For this purpose, 1,122 usable responses are gathered considering the smartphone brands of Apple and Nokia as well as different scenarios. The...

Persistent link: https://www.econbiz.de/10011277261

Estimation and Inference for Varying-coefficient Models with Nonstationary Regressors using Penalized Splines

Chen, Haiqiang; Fang, Ying; Li, Yingxing - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...

Persistent link: https://www.econbiz.de/10011277263

Sharp deviation bounds for quadratic forms

Spokoiny, Vladimir; Zhilova, Mayya - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

This note presents sharp inequalities for deviation probability of a general quadratic form of a random vector Xi with finite exponential moments. The obtained deviation bounds are similar to the case of a Gaussian random vector. The results are stated under general conditions and do not suppose...

Persistent link: https://www.econbiz.de/10011277270

Nonparametric change-point analysis of volatility

Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itˆo semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...

Persistent link: https://www.econbiz.de/10011277298