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MacKinnon, James G. - 2007

This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of … computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that … there are many different procedures for generating bootstrap samples for regression models and other types of model. As an …

Persistent link: https://www.econbiz.de/10011940741

How to implement the Bootstrap in Static or Stable Dynamic Regression Models

van Giersbergen, Noud P.A.; Kiviet, Jan F. - 2001

different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …

Persistent link: https://www.econbiz.de/10010324912

Small sample adjustment for hypotheses testing on cointegrating vectors

Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85

Persistent link: https://www.econbiz.de/10013260145

The Romano-Wolf multiple hypothesis correction in Stata

Clarke, Damian; Romano, Joseph P.; Wolf, Michael - 2019

When considering multiple hypothesis tests simultaneously, standard statistical techniques will lead to over-rejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this paper we discuss the Romano-Wolf multiple hypothesis correction, and...

Persistent link: https://www.econbiz.de/10012147332

A test for instrument validity

Kitagawa, Toru - 2014 - This draft: August, 2014

This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point-identifiable complier's...

Persistent link: https://www.econbiz.de/10010392075

Bootstrap DEA and hypothesis testing

Tziogkidis, Panagiotis - 2012

requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade …, which could be extended to test almost any hypothesis in bootstrap DEA. Moreover, it enhances the intuition behind bootstrap …

Persistent link: https://www.econbiz.de/10009583705

A bootstrap test for instrument validity in heterogeneous treatment effect models

Kitagawa, Toru - 2013

bootstrap algorithm to implement the proposed test and show its asymptotic validity. The proposed test procedure can apply to …

Persistent link: https://www.econbiz.de/10010190476

How to implement the bootstrap in static or stable dynamic regression models

Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001

different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …

Persistent link: https://www.econbiz.de/10011325661

Conditional complexity of compression for authorship attribution

Malyutov, Mikhail B.; Wickramasinghe, Chammi Irosha; … - 2007

We introduce new stylometry tools based on the sliced conditional compression complexity of literary texts which are inspired by the nearly optimal application of the incomputable Kolmogorov conditional complexity (and presumably approximates it). Whereas other stylometry tools can occasionally...

Persistent link: https://www.econbiz.de/10010277239

Testing CAPM with a large number of assets

Pesaran, Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10010282392