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Forecast evaluation of small nested model sets
Hubrich, Kirstin; West, Kenneth D. - 2009
alternative models simultaneously rather than sequentially, and do not require re-estimation of models as part of a bootstrap …
Persistent link: https://www.econbiz.de/10011605076
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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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Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives
Corradi, Valentina; Swanson, Norman R. - 2003
Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with ?out-of-sample Granger causality?. In particular, it is often of interest to assess whether...
Persistent link: https://www.econbiz.de/10010263216
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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10010316931
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Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver J.; Herwartz, Helmut - 2008
confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By …
Persistent link: https://www.econbiz.de/10010271838
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The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation
Swanson, Norman R.; Corradi, Valentina - 2003
n.a.
Persistent link: https://www.econbiz.de/10010263214