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bootstrap technique that we use in finite sample settings. A simulation study illustrates the good size and power properties of …
Persistent link: https://www.econbiz.de/10008528557
In this paper, we propose finite and large sample likelihood based test procedures for possibly non-linear hypotheses on the coefficients of SURE systems. Two complementary approaches are described. First, we propose an exact Monte Carlo bounds test based on the standard likelihood ratio...
Persistent link: https://www.econbiz.de/10005696246
In this paper, we propose finite and large sample likelihood based test procedures for possibly non-linear hypotheses on the coefficients of SURE systems. Two complementary approaches are described. First, we propose an exact Monte Carlo bounds test based on the standard likelihood ratio...
Persistent link: https://www.econbiz.de/10005696420
. One can use the bootstrap distribution of the score test statistic to obtain a critical value. This can give already … value. Since the score test statistic is asymptotically pivotal, the bootstrap critical value is second-order correct … matrix used in the quadratic form. In this paper we propose a bootstrap-based method to obtain both a second-order correct …
Persistent link: https://www.econbiz.de/10005702655
) structural change test, where we calculate bootstrap critical values. While the size is correct, his sequential method lacks …
Persistent link: https://www.econbiz.de/10005702663
analyzed for the case when the break dates are known and for the case when they are endogenously determined. A bootstrap test …
Persistent link: https://www.econbiz.de/10005132640
We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005133053
We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...
Persistent link: https://www.econbiz.de/10005133089
We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005133161
different bootstrap tests. In the context of static linear regression models two of these are shown to have serious size and …
Persistent link: https://www.econbiz.de/10005137131