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An Introduction to Bootstrap Theory in Time Series Econometrics
Cavaliere, Giuseppe - 2020
is discussed in terms of the leading example of bootstrap-based hypothesis testing in the well-known first order auto … conditions and their implications for possible improvements in terms of (empirical) size and power for bootstrap-based testing …, when compared to asymptotic testing, are illustrated by simulations. Following this, an overview of selected recent …
Persistent link: https://www.econbiz.de/10012835479
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A Sharp Test for the Judge Leniency Design
Coulibaly, Mohamed; Hsu, Yu-Chin; Mourifié, Ismael; … - National Bureau of Economic Research - 2024
We propose a new specification test to assess the validity of the judge leniency design. We characterize a set of sharp testable implications, which exploit all the relevant information in the observed data distribution to detect violations of the judge leniency design assumptions. The proposed...
Persistent link: https://www.econbiz.de/10014544734
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An introduction to bootstrap theory in time series econometrics
Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - 2020
Persistent link: https://www.econbiz.de/10012319239
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Spurious long-horizon regression in econometrics
Noriega-Muro, Antonio E.; Ventosa-Santaulària, Daniel - 2010
asymptotically correct inferential procedure for testing the null hypothesis of no relationship in a LHR, which works whether the …
Persistent link: https://www.econbiz.de/10008656734
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Type I Spurious Regression in Econometrics
Chiarella, Carl - 2006
In applied econometrics researchers often infer the relation among nonstationary time series by regression of their …
Persistent link: https://www.econbiz.de/10012734590
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A fixed-b perspective on the Phillips-Perron unit root tests
Vogelsang, Timothy J.; Wagner, Martin - 2011
We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed-b limits depend on nuisance parameters in a complicated way. These non-pivotal limits provide an alternative theoretical explanation for the well known finite sample problems of...
Persistent link: https://www.econbiz.de/10009686209
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Discontinuous Trading in Continuous-Time Econometrics
Bandi, Federico M.; Kolokolov, Aleksey; Pirino, Davide; … - 2023
Equi-spaced sampling is the norm in applied work using high-frequency data. Due to trade intermittency, however, this traditional sampling scheme amounts to implicit random sampling. Under implicit random sampling and on continuous trajectories, we quantify the asymptotic biases of even realized...
Persistent link: https://www.econbiz.de/10014254687
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A fixed-b perspective on the Phillips-Perron unit root tests
Vogelsang, Timothy J.; Wagner, Martin - 2011
We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed-b limits depend on nuisance parameters in a complicated way. These non-pivotal limits provide an alternative theoretical explanation for the well known finite sample problems of...
Persistent link: https://www.econbiz.de/10009267787
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Some computational aspects of Gaussian CARMA modelling
Tómasson Helgi - 2011
Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown. -- CARMA ; maximum-likelihood ;...
Persistent link: https://www.econbiz.de/10009685469
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On the usefulness of the Diebold-Mariano test in the selection of prediction models : some Monte Carlo evidence
Costantini, Mauro; Kunst, Robert M. - 2011
In evaluating prediction models, many researchers flank comparative ex-ante prediction experiments by significance tests on accuracy improvement, such as the Diebold-Mariano test. We argue that basing the choice of prediction models on such significance tests is problematic, as this practice may...
Persistent link: https://www.econbiz.de/10009685472