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Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to … applications. This renders inference based on standard resampling methods useless already in simple estimation and testing settings …. To solve this problem, we introduce a robust fast resampling scheme that is applicable to a wide class of time series …

Persistent link: https://www.econbiz.de/10003971115

A test for instrument validity

Kitagawa, Toru - 2014 - This draft: August, 2014

This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point-identifiable complier's...

Persistent link: https://www.econbiz.de/10010392075

Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten (contributor) - 2006

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...

Persistent link: https://www.econbiz.de/10003324256

A discrete model for bootstrap iteration

Davidson, Russell - 2015

In an attempt to free bootstrap theory from the shackles of asymptotic considerations, this paper studies the possibility of justifying, or validating, the bootstrap, not by letting the sample size tend to infinity, but by considering the sequence of bootstrap P values obtained by iterating the...

Persistent link: https://www.econbiz.de/10011295590

How to implement the bootstrap in static or stable dynamic regression models

Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001

By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...

Persistent link: https://www.econbiz.de/10011325661

Bootstrap DEA and hypothesis testing

Tziogkidis, Panagiotis - 2012

Bootstrapping non-parametric models is a fairly complicated exercise which is associated with implicit assumptions or requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade; however, some of its assumptions and properties are...

Persistent link: https://www.econbiz.de/10009583705

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

resulting generalized non-parametric bounds tests with Monte Carlo resampling techniques. In sharp contrast to the usual tests …

Persistent link: https://www.econbiz.de/10009746573

Fractional integration and business cycle features

Candelon, Bertrand; Gil-Alaña, Luis A. - 2001

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

Persistent link: https://www.econbiz.de/10009614295

Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

Arsova, Antonia; Karaman Örsal, Deniz Dilan - 2013

This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012) (henceforth Panel SL test) to allow for cross-sectional dependence. The dependence is modelled by unobserved common factors which affect the variables in each cross-section...

Persistent link: https://www.econbiz.de/10010187855

The dynamics of real exchange rates : a reconsideration

Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

Persistent link: https://www.econbiz.de/10008908972