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Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation

Danielsson, J.; de Haan, L.; Peng, L.; de Vries, C.G. - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the samplefraction, in the sense of minimal mean squared error, which is needed for tail index estimation. Unlike previous methodsour procedure is fully self contained. In particular, the...

Persistent link: https://www.econbiz.de/10010324719

Fast methods for jackknifing inequality indices

Karoly, Lynn A.; Schröder, Carsten - 2013

The jackknife is a resampling method that uses subsets of the original database by leaving out one observation at a …

Persistent link: https://www.econbiz.de/10010335356

Portfolio Choice and Estimation Risk: A Comparison of Bayesian to Heuristic Approaches

Herold, Ulf; Maurer, Raimond - 2002

approach introduced by Michaud (1998), resampling efficiency. Michaud argues that the limitations of MV efficiency in practice … that leads to new procedures that can reduce estimation risk. Resampling efficiency has been contrasted to standard … fill this gap. Optimal portfolios based on the Bayes/Stein estimator and resampling efficiency are compared in an empirical …

Persistent link: https://www.econbiz.de/10010316250

Portfolio construction by using different risk models: a comparison among diverse economic scenarios

Hunjra, Ahmed Imran; Alawi, Suha Mahmoud; Colombage, Sisira - In: Risks 8 (2020) 4, pp. 1-23

We aim to construct portfolios by employing different risk models and compare their performance in order to understand their appropriateness for effective portfolio management for investors. Mean variance (MV), semi variance (SV), mean absolute deviation (MaD) and conditional value at risk...

Persistent link: https://www.econbiz.de/10013200659

Microdata Disclosure by Resampling: Empirical Findings for Business Survey Data

Gottschalk, Sandra - 2003

), and compare resampling with a common method of disclosure control, i.e. disturbance with multiplicative error, concerning … results show that univariate distributions can be better reproduced by unweighted resampling. Parameter estimates can be … reproduced quite well if (a) the resampling procedure implements the correlation structure of the original data as a scale and (b …

Persistent link: https://www.econbiz.de/10010297305

Nonparametric identification and estimation with non-classical errors-in-variables

Evdokimov, Kirill S.; Zeleneev, Andrei - 2024

This paper considers nonparametric identification and estimation of the regression function when a covariate is mismeasured. The measurement error need not be classical. Employing the small measurement error approximation, we establish nonparametric identification under weak and...

Persistent link: https://www.econbiz.de/10014581847

Inference for rank-rank regressions

Chetverikov, Denis N.; Wilhelm, Daniel - 2023

Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...

Persistent link: https://www.econbiz.de/10014480485

Design-based identification with formula instruments: A review

Borusyak, Kirill; Hull, Peter; Jaravel, Xavier - 2023

Many studies in economics use instruments or treatments which combine a set of exogenous shocks with other predetermined variables by a known formula. Examples include shift-share instruments and measures of social or spatial spillovers. We review recent econometric tools for this setting, which...

Persistent link: https://www.econbiz.de/10014480549

Identification based on higher moments

Lewis, Daniel J. - 2024

Identification based on higher moments has drawn increasing theoretical attention and been widely adopted in empirical practice in macroeconometrics in the last two decades. This article reviews two parallel strands of the literature: identification strategies based on heteroskedasticity and...

Persistent link: https://www.econbiz.de/10014480567

Robust estimation and inference in panels with interactive fixed effects

Armstrong, Timothy B.; Weidner, Martin; Zeleneev, Andrei - 2023

We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We show that previously developed estimators and confidence intervals (CIs) might be heavily biased and size-distorted when some of the factors are weak. We...

Persistent link: https://www.econbiz.de/10014480692

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