Narrow search
Showing 1 - 10 of 7,406
Cover Image
A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014
A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken "directly" from the observed data. The procedure is useful when one wants to summarize the test results for several time...
Persistent link: https://www.econbiz.de/10010250513
Cover Image
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
Cover Image
Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
Cover Image
Are linear models really unuseful to describe business cycle data?
Lopes, Artur C. B. da Silva; Zsurkis, Gabriel Florin - 2017
on testing only. The authors aim to maximize power to detect non-linearities and, simultaneously, they purport avoiding …
Persistent link: https://www.econbiz.de/10011596878
Cover Image
An introduction to bootstrap theory in time series econometrics
Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - 2020
Persistent link: https://www.econbiz.de/10012319239
Cover Image
Calculating Data Loss for Time-Series Data
Bianco, Dimitri - 2018
Data transformations are commonly used across statistics to transform data distributions into distributions with properties that make them more user friendly. In time-series, stationarity is one of the most common assumptions that is violated because the mean and variance are time dependent....
Persistent link: https://www.econbiz.de/10012913053
Cover Image
LASSO-driven inference in time and space
Chernozhukov, Victor; Härdle, Wolfgang; Huang, Chen; … - 2019
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of regressions with many regressors using LASSO...
Persistent link: https://www.econbiz.de/10012003693
Cover Image
LASSO-driven inference in time and space
Chernozhukov, Victor; Härdle, Wolfgang; Huang, Chen; … - 2018
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of large-scale regressions with LASSO is applied to...
Persistent link: https://www.econbiz.de/10011865621
Cover Image
Heteroskedasticity-and-autocorrelation-consistent bootstrapping
Davidson, Russell; Monticini, Andrea - 2014
In many, if not most, econometric applications, it is impossible to estimate consistently the elements of the white-noise process or processes that underlie the DGP. A common example is a regression model with heteroskedastic and/or autocorrelated disturbances,where the heteroskedasticity and...
Persistent link: https://www.econbiz.de/10011774249
Cover Image
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