Showing 1 - 10 of 156
This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors, confidence intervals, and tests. For each of these problems, the paper provides a threestep method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the...
Persistent link: https://www.econbiz.de/10014071571
This paper determines coverage probability errors of both delta method and parametric bootstrap confidence intervals (CIs) for the covariance parameters of stationary long-memory Gaussian time series. CIs for the long-memory parameter d_{0} are included. The results establish that the bootstrap...
Persistent link: https://www.econbiz.de/10014111992
This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...
Persistent link: https://www.econbiz.de/10013096518
This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...
Persistent link: https://www.econbiz.de/10014179348
The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...
Persistent link: https://www.econbiz.de/10014103340
This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...
Persistent link: https://www.econbiz.de/10013117347
This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...
Persistent link: https://www.econbiz.de/10013086470
This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...
Persistent link: https://www.econbiz.de/10013074673
Persistent link: https://www.econbiz.de/10001512674
Persistent link: https://www.econbiz.de/10001492115