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Monte Carlo simulation
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1
Computationally efficient approximation for the double
bootstrap
mean bias correction
Ouysse, Rachida
- In:
Economics Bulletin
31
(
2011
)
3
,
pp. 2388-2403
We propose a computationally efficient approximation for the double
bootstrap
bias adjustment factor without using the … inner
bootstrap
loop. The approximation converges in probability to the population bias correction factor. We study the … variance than those based on the double
bootstrap
and, lower adjusted mean-squared error than estimators based on the single …
Persistent link: https://www.econbiz.de/10009274533
Saved in:
2
Test of misspecification with application to negative binomial distribution
Chua, K.
;
Ong, S.
- In:
Computational Statistics
28
(
2013
)
3
,
pp. 993-1009
A misspecification test based directly on Bartlett’s First Identity is examined. This test is exemplified by the negative binomial distribution. A Monte Carlo simulation study has been conducted, in the context of testing distributional misspecification, and the performance of the proposed...
Persistent link: https://www.econbiz.de/10010847923
Saved in:
3
A test for bivariate normality with applications in microeconometric models
Lucchetti, Riccardo
;
Pigini, Claudia
- In:
Statistical Methods and Applications
22
(
2013
)
4
,
pp. 535-572
matrix test for censored models with
bootstrap
critical values. In order to evaluate its properties, we run a comprehensive … that, while asymptotic critical values can be seriously misleading, the use of
bootstrap
critical values results in a test …
Persistent link: https://www.econbiz.de/10010848091
Saved in:
4
Methods for variance estimation under random hot deck imputation in business surveys
Righi, Paolo
;
Falorsi, Stefano
;
Fasulo, Andrea
- In:
Rivista di statistica ufficiale
16
(
2014
)
1-2
,
pp. 45-64
the paper three variance methods under imputatation are taken into account. Two of them are the well known
bootstrap
and …
Persistent link: https://www.econbiz.de/10011071733
Saved in:
5
Puzzling Integratedness of Interest Rates: A Case for Nonparametric Threshold Cointegration?
Cron, Axel
;
Weidmann, Jens
-
University of Bonn, Germany
-
1996
It is commonly found in empirical studies that nominal interest rates contain a unit root, implying that these variables have a permanent memory. One of the characteristics of a nonstationary time series is that it has no tendency to return to its mean values, meaning that the series is trending...
Persistent link: https://www.econbiz.de/10004968217
Saved in:
6
Optimal multi-step-ahead prediction of ARCH/GARCH models and NoVaS transformation
Chen, Jie
;
Politis, Dimitris N.
- In:
Econometrics
7
(
2019
)
3
,
pp. 1-23
This paper gives a computer-intensive approach to multi-step-ahead prediction of volatility in financial returns series under an ARCH/GARCH model and also under a model-free setting, namely employing the NoVaS transformation. Our model-based approach only assumes i..id innovations without...
Persistent link: https://www.econbiz.de/10012696249
Saved in:
7
Goodness-Of-Fit Tests Based on Estimated Expectations of Probability Integral Transformed Order Statistics
Swanepoel, Jan
;
Graan, Francois Van
- In:
Annals of the Institute of Statistical Mathematics
54
(
2002
)
3
,
pp. 531-542
Persistent link: https://www.econbiz.de/10005169245
Saved in:
8
Predictability of Equity Models
Valls Pereira, Pedro L.
;
Chicaroli, Rodrigo
-
Volkswirtschaftliche Fakultät, …
-
2009
(2005) amounting to 26,410 simulated strategies. Finally, using the
bootstrap
methodology, with 1,000 simulations, we find …
Persistent link: https://www.econbiz.de/10004980415
Saved in:
9
Bootstrap
Based Bias Correction for Homogeneous Dynamic²² Panels
EVERAERT, G.
;
POZZI, L.
-
Faculteit Economie en Bedrijfskunde, Universiteit Gent
-
2004
moderate T. We present a bias correction for this estimator based on an iterative
bootstrap
procedure. Monte Carlo simulations … show that this procedure is a good alternative for the analytical correction by Kiviet (1995, JE). The
bootstrap
(i …
Persistent link: https://www.econbiz.de/10004982998
Saved in:
10
Testing for linearity in Markov switching models: a
bootstrap
approach
Sanzo, Silvestro Di
- In:
Statistical Methods and Applications
18
(
2009
)
2
,
pp. 153-168
Persistent link: https://www.econbiz.de/10004995412
Saved in:
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