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Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Horowitz, Joel L.; Lee, Sokbae - 2010
method to obtain a uniform confidence band and show that the bootstrap can be used to obtain the required critical values …
Persistent link: https://www.econbiz.de/10010292807
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A new approach to bootstrap inference in functional coefficient models
Herwartz, Helmut; Xu, Fang - 2007
We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in … functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic …, factor based bootstrap inference outperforms the wild bootstrap and pairs bootstrap approach according to its size features …
Persistent link: https://www.econbiz.de/10010296279
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When, where and how to perform efficiency estimation
Badunenko, Oleg; Henderson, Daniel J.; Kumbhakar, Subal C. - 2011
In this paper we compare two flexible estimators of technical efficiency in a cross-sectional setting: the nonparametric kernel SFA estimator of Fan, Li and Weersink (1996) to the nonparametric bias corrected DEA estimator of Kneip, Simar and Wilson (2008). We assess the finite sample...
Persistent link: https://www.econbiz.de/10010280699
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Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Horowitz, Joel L.; Lee, Sokbae - 2009
to obtain a uniform confidence band and show that the bootstrap can be used to obtain the required critical values. Monte …
Persistent link: https://www.econbiz.de/10010288414
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Confidence sets based on inverting Anderson-Rubin tests
Davidson, Russell; MacKinnon, James G. - 2011
Economists are often interested in the coefficient of a single endogenous explanatory variable in a linear simultaneous equations model. One way to obtain a confidence set for this coefficient is to invert the Anderson-Rubin test. The AR confidence sets that result have correct coverage under...
Persistent link: https://www.econbiz.de/10010290355
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The Balassa-Samuelson Hypothesis in Developed Countries and Emerging Market Economies: Different Outcomes Explained
García Solanes, José; Torrejón-Flores, Fernando - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-2, pp. 1-24
This paper studies the Balassa-Samuelson effects in two areas with strong differences in economic development, sixteen OECD countries and sixteen Latin American economies. The USA is taken as a benchmark. Applying recent panel cointegration and bootstrapping techniques that solve for...
Persistent link: https://www.econbiz.de/10010298622
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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
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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
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Testing a model of the UK by the method of indirect inference
Minford, Patrick; Theodoridis, Konstantinos; Meenagh, David - 2007
We use the method of indirect inference to test a full open economy model of the UK that has been in forecasting use for three decades. The test establishes, using a Wald statistic, whether the parameters of a time-series representation estimated on the actual data lie within some confidence...
Persistent link: https://www.econbiz.de/10010322756
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How to implement the Bootstrap in Static or Stable Dynamic Regression Models
van Giersbergen, Noud P.A.; Kiviet, Jan F. - 2001
different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …
Persistent link: https://www.econbiz.de/10010324912