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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
modern wavelet resampling technique called wavestrapping. Finally, the test is visibly more robust to size distortions …
Persistent link: https://www.econbiz.de/10013065650
In the aftermath of the global financial crisis, competing measures of the trend in macroeconomic variables such as US real GDP have featured prominently in policy debates. A key question is whether the large shocks to macroeconomic variables will have permanent effects — i.e., in econometric...
Persistent link: https://www.econbiz.de/10014039994
Identification in the context of multivariate state space modelling involves the specification of the dimension of the state vector. One identification approach requires an estimate of the rank of a Hankel matrix. The most frequently used approaches of rank determination rely on information...
Persistent link: https://www.econbiz.de/10010284210
resulting generalized non-parametric bounds tests with Monte Carlo resampling techniques. In sharp contrast to the usual tests …
Persistent link: https://www.econbiz.de/10009746573
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
resampling methods. It identifies common misinterpretations of computed quantities and discusses some of the comparative …
Persistent link: https://www.econbiz.de/10014100750
constructed by resampling data in a manner that does not depend on the unknown correlation structure of the data. We prove that …
Persistent link: https://www.econbiz.de/10014034120
Conventional tests of present-value models over-reject the null of no predictability. In order to better account for the intrinsic probability of detecting predictive relations by chance alone, we develop a new nonparametric Monte Carlo testing method, which does not rely on distributional...
Persistent link: https://www.econbiz.de/10009684124
As I document using evidence from a journal data repository that I manage, the datasets used in empirical work are getting larger. When we use very large datasets, it can be dangerous to rely on standard methods for statistical inference. In addition, we need to worry about computational issues....
Persistent link: https://www.econbiz.de/10012815681