Showing 1 - 10 of 19
Persistent link: https://www.econbiz.de/10003120225
Persistent link: https://www.econbiz.de/10002634905
Persistent link: https://www.econbiz.de/10003936086
Persistent link: https://www.econbiz.de/10003968460
We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...
Persistent link: https://www.econbiz.de/10003971115
Persistent link: https://www.econbiz.de/10003992828
We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...
Persistent link: https://www.econbiz.de/10003550675
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which is consistent with nearly integrated regressors and...
Persistent link: https://www.econbiz.de/10009721331
Persistent link: https://www.econbiz.de/10003078845
Persistent link: https://www.econbiz.de/10003120505