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Robust resampling methods for time series
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010
We study the robustness of block resampling procedures for time series. We first derive a set of formulas to … applications. This renders inference based on standard resampling methods useless already in simple estimation and testing settings …. To solve this problem, we introduce a robust fast resampling scheme that is applicable to a wide class of time series …
Persistent link: https://www.econbiz.de/10003971115
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How to implement the bootstrap in static or stable dynamic regression models
Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10011325661
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Nonparametric Inferences on Conditional Quantile Processes
Goh, Chuan - 2007
This paper is concerned with tests of restrictions on the sample path of conditional quantile processes. These tests are tantamount to assessments of lack of fit for models of conditional quantile functions or more generally as tests of how certain covariates affect the distribution of an...
Persistent link: https://www.econbiz.de/10012731947
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Cluster-robust jackknife and bootstrap inference for binary response models
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2024
We study cluster-robust inference for binary response models. Inference based on the most commonly-used cluster-robust variance matrix estimator (CRVE) can be very unreliable. We study several alternatives. Conceptually the simplest of these, but also the most computationally demanding, involves...
Persistent link: https://www.econbiz.de/10015048740
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A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables
Massacci, Daniele - 2017
This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties
Persistent link: https://www.econbiz.de/10014176554
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New Solution to Time Series Inference in Spurious Regression Problems
Vinod, Hrishikesh D. - 2010
Phillips (1986) provides asymptotic theory for regressions that relate nonstationary time series including those integrated of order 1, I(1). A practical implication of related literature on spurious regression is that one cannot trust the usual confidence intervals. Therefore it is recommended...
Persistent link: https://www.econbiz.de/10014197508
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The phantom menace of omitted variables : a comment
Ritter, Nolan; Vance, Colin - 2011
This note demonstrates that in applied regression analysis, the variance of a coefficient of interest may decrease from the inclusion of a control variable, contrasting with Clarke's assertion (2005, 2009) that the variance can only increase or stay the same. Practitioners may thus be...
Persistent link: https://www.econbiz.de/10009580263
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Identifying genuine effects in observational research by means of meta-regressions
Bruns, Stephan B. - 2013
Meta-regression models are increasingly utilized to integrate empirical results across studies while controlling for the potential threats of data-mining and publication bias. We propose extended meta-regression models and evaluate their performance in identifying genuine empirical effects by...
Persistent link: https://www.econbiz.de/10010199109
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The fragility of meta-regression models in observational research
Bruns, Stephan B. - 2016
Many meta-regression analyses that synthesize estimates from primary studies have now been published in economics. Meta-regression models attempt to infer the presence of genuine empirical effects even if the authors of primary studies select statistically significant and theory-confirming...
Persistent link: https://www.econbiz.de/10011408185
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Simulation-based finite-sample linearity test against smooth transition models
González, Andrés (contributor);  … - 2005
In this paper we use Monte Carlo testing techniques for testing linearity against the smooth transition models. The Monte Carlo approach allows us to introduce a new test that differs from the tests existing in the literature in two respects. First, the test is exact in the sense that the...
Persistent link: https://www.econbiz.de/10003073820