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A nonparametric test for the stationary density
Neumann, Michael H.; Paparoditis, Efstathios - Sonderforschungsbereich 373, Quantifikation und … - 1998
We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent … observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric … observations. Accordingly, we propose an i.i.d.-type bootstrap to determine the critical value for the test. …
Persistent link: https://www.econbiz.de/10010956411
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A nonparametric test for the stationary density
Neumann, Michael H.; Paparoditis, Efstathios - 1998
We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent … observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric … observations. Accordingly, we propose an i.i.d.-type bootstrap to determine the critical value for the test. …
Persistent link: https://www.econbiz.de/10010309888
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A robust bootstrap approach to the Hausman test in stationary panel data models
Herwartz, Helmut; Neumann, Michael H. - 2007
In panel data econometrics the Hausman test is of central importance to select an e?cient estimator of the models … explanatory variables by means of the Hausman test model disturbances are typically assumed to be independent and identically … distributed over the time and the cross section dimension. The test statistic lacks pivotalness in case the iid assumption is …
Persistent link: https://www.econbiz.de/10010296293
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A nonparametric test for the stationary density
Neumann, Michael H.; Paparoditis, Efstathios - 1998
Persistent link: https://www.econbiz.de/10000992454
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Dependent wild bootstrap for the empirical process
Doukhan, Paul; Lang, Gabriel; Leucht, Anne; Neumann, … - 2014
In this paper, we propose a model-free bootstrap method for the empirical process under absolute regularity. More precisely, consistency of an adapted version of the so-called dependent wild bootstrap, that was introduced by Shao (2010) and is very easy to implement, is proved under minimal...
Persistent link: https://www.econbiz.de/10011490345
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Problems related to confidence intervals for impulse responses of autoregressive processes
Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H. - In: Econometric reviews 19 (2000) 1, pp. 69-103
Persistent link: https://www.econbiz.de/10001455663
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Exact asymptotics for nonparametric density estimation from dependent data
Butucea, Cristina; Neumann, Michael H. - 1999
Persistent link: https://www.econbiz.de/10001421294
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A nonparametric test for the stationary density
Neumann, Michael H.; Paparoditis, Efstathios - 1998
We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent … observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric … observations. Accordingly, we propose an i.i.d.-type bootstrap to determine the critical value for the test. -- Bootstrap …
Persistent link: https://www.econbiz.de/10009578009
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On robustness of model-based bootstrap schemes in nonparametric time series analysis
Neumann, Michael H. - 1997
Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating process. Whereas corresponding estimators such as those of a conditional mean function are reasonable even if the true dependence mechanism is of a more complex structure, it is...
Persistent link: https://www.econbiz.de/10009660380
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Teaching wavelets in XploRe
Klinke, Sigbert; Golubev, Yuri; Härdle, Wolfgang; … - 1997
Teachware is a set of computer software tools for computeraided interactive teaching of certain knowledge elements. The construction of teachware for statistical knowledge is a rather young field since it heavily depends on data structures and graphical interaction possibilities. In this paper...
Persistent link: https://www.econbiz.de/10009630542