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US Post-war Monetary Policy: What Caused the Great Moderation?
Minford, Patrick; Ou, Zhirong - C.E.P.R. Discussion Papers - 2010
Using indirect inference based on a VAR we confront US data from 1972 to 2007 with a standard New Keynesian model in which an optimal timeless policy is substituted for a Taylor rule. We find the model explains the data both for the Great Acceleration and the Great Moderation. The implication is...
Persistent link: https://www.econbiz.de/10008692309
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Statistical tests for Lyapunov exponents of deterministic systems
Wolff, Rodney C; Yao, Qiwei; Tong, Howell - School of Economics and Finance, Business School - 2006
bootstrap tests based on empirical likelihood for percentiles and expectiles of strictly stationary processes. The percentiles …
Persistent link: https://www.econbiz.de/10008694518
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Bias-Corrected Estimation for Spatial Autocorrelation
Yang, Zhenlin - School of Economics, Singapore Management University - 2010
the expectations of ratios of quadratic forms is overcome by a simple bootstrap procedure. With that, the corrections on …
Persistent link: https://www.econbiz.de/10008725929
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An Analysis of Productivity Changes in the Iranian banking Industry: a Bootstrapped Malmquist Approach
Arjomandi, Amir; Valadkhani, Abbas; Harvie, Charles - School of Accounting, Economics, and Finance, … - 2010
an adverse impact on the efficiency level of state-owned banks. The bootstrap approach demonstrates that the majority of …
Persistent link: https://www.econbiz.de/10008727733
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Why crises happen - nonstationary macroeconomics
Meenagh, David; Minford, A. Patrick L.; Wickens, Michael R. - Economics Section, Cardiff Business School - 2010
A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...
Persistent link: https://www.econbiz.de/10008741320
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A Bootstrap Cointegration Rank Test for Panels of VAR Models
Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010
bootstrap based procedure is used to compute empirical distributions of the trace test statistics for these individual models …
Persistent link: https://www.econbiz.de/10008752898
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On Testing Equality of Distributions of Technical Efficiency Scores
Simar, Leopold; Zelenyuk, Valentin - In: Econometric Reviews 25 (2006) 4, pp. 497-522
The challenge of the econometric problem in production efficiency analysis is that the efficiency scores to be analyzed are unobserved. Statistical properties have recently been discovered for a type of estimator popular in the literature, known as data envelopment analysis (DEA). This opens up...
Persistent link: https://www.econbiz.de/10009228492
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The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
Omtzigt, Pieter; Fachin, Stefano - In: Econometric Reviews 25 (2006) 1, pp. 41-60
In this paper we compare Bartlett-corrected, bootstrap, and fast double bootstrap tests on maximum likelihood estimates … of cointegration parameters. The key result is that both the bootstrap and the Bartlett-corrected tests must be based on … sizes commonly available; the fast double bootstrap test minimizes size bias, while the Bartlett-corrected test is somehow …
Persistent link: https://www.econbiz.de/10009228532
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Using Bootstrap to Test Portfolio Efficiency
Chou, Pin-Huang; Zhou, Guofu - In: Annals of Economics and Finance 7 (2006) 2, pp. 217-249
To facilitate wide use of the bootstrap method in finance, this paper shows by intuitive arguments and by simulations …
Persistent link: https://www.econbiz.de/10009228665
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Are some forecasters really better than others?
D'Agostino, Antonello; McQuinn, Kieran; Whelan, Karl - Volkswirtschaftliche Fakultät, … - 2011
of the forecaster and use bootstrap techniques to compare the empirical results with the equivalents obtained under the …
Persistent link: https://www.econbiz.de/10009277851