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Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014

If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...

Persistent link: https://www.econbiz.de/10011396835

Structural breaks in Iron-Ore prices: The impact of the 1973 oil crisis

Angelov, Nikolay - 2006

tests are accompanied by their bootstrap counterparts due to the limited sample sizes. Using unit-root tests allowing for an … bootstrap tests give results close to those from the asymptotic ones. …

Persistent link: https://www.econbiz.de/10010321602

Bootstrap Methods and Applications in Econometrics - A Brief Survey

Bergström, Pål - 1999

This paper provides a brief survey of the bootstrap and its use in econometrics. As an introduction, the paper gives a … discuss why bootstrap tests provide refinements compared to equivalent asymptotic tests. A series of recent different …

Persistent link: https://www.econbiz.de/10010321776

Improving weighted least squares inference

DiCiccio, Cyrus J.; Romano, Joseph P.; Wolf, Michael - 2016

shown that a bootstrap approximation to the sampling distribution of the weighted least squares estimate is valid, which …-sample properties of this new estimator as well as the improvements in performance realized by bootstrap confidence intervals. …

Persistent link: https://www.econbiz.de/10011663191

Balanced bootstrap joint confidence bands for structural impulse response functions

Bruder, Stefan; Wolf, Michael - 2017

asymptotically. Such bands are based on a certain bootstrap procedure from the multiple-testing literature. We compare the finite … endogenizing the lag order in our bootstrap procedure on the finite-sample properties. Furthermore, an empirical application to a …

Persistent link: https://www.econbiz.de/10011663204

Inference for structural impulse responses in SVAR-GARCH models

Bruder, Stefan - 2018

heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the … finite-sample properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo …

Persistent link: https://www.econbiz.de/10011969192

Robust performance hypothesis testing with smooth functions of population moments

Ledoit, Olivier; Wolf, Michael - 2018

tails and time dependence in the return data. In particular, we will promote a studentized time series bootstrap procedure …

Persistent link: https://www.econbiz.de/10011969216

Easy bootstrap-like estimation of asymptotic variances

Honoré, Bo E.; Hu, Luojia - 2018

The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated … econometric models. Unfortunately, the bootstrap can be very time-consuming. In a recent paper, Honoré and Hu (2017), we propose a … "Poor (Wo)man's Bootstrap" based on one-dimensional estimators. In this paper, we propose a modified, simpler method and …

Persistent link: https://www.econbiz.de/10012030354

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with ?out-of-sample Granger causality?. In particular, it is often of interest to assess whether...

Persistent link: https://www.econbiz.de/10010263216

Poor (wo)man's bootstrap

Honoré, Bo E.; Hu, Luojia - 2015

The bootstrap is a convenient tool for calculating standard errors of the parameters of complicated econometric models …. Unfortunately, the fact that these models are complicated often makes the bootstrap extremely slow or even practically infeasible …. This paper proposes an alternative to the bootstrap that relies only on the estimation of one-dimensional parameters. The …

Persistent link: https://www.econbiz.de/10011460667