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Calculating confidence intervals for continuous and discontinuous functions of estimated parameters
Ham, John C.; Woutersen, Tiemen - 2011
The delta method is commonly used to calculate confidence intervals of functions of estimated parameters that are differentiable with non-zero, bounded derivatives. When the delta method is inappropriate, researchers usually first use a bootstrap procedure where they i) repeatedly take a draw...
Persistent link: https://www.econbiz.de/10009310161
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A correction function approach to solve the incidental parameter problem
Li, Guangjie; Leon-Gonzalez, Roberto - 2009
Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model....
Persistent link: https://www.econbiz.de/10003817215
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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - 2007
components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …
Persistent link: https://www.econbiz.de/10009736650
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10001731828
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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - 2007
Persistent link: https://www.econbiz.de/10003510803
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10011431982
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Correcting for primary study misspecifications in meta-analysis
Koetse, Mark J.; Florax, Raymond J. G. M.; Groot, Henri … - 2005
meta-estimator that calculates asimple average effect and a meta-estimator that includes dummy variables to control … effects of error propagation on the bias and mean squarederror of the meta-estimator, and the size and the power of …
Persistent link: https://www.econbiz.de/10011343283
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A bootstrap test for instrument validity in heterogeneous treatment effect models
Kitagawa, Toru - 2013
This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect …. Our specification test infers this testable implication using a Kolmogorov-Smirnov type test statistic. We provide a … 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
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Conditional complexity of compression for authorship attribution
Malyutov,, Mikhail B. (contributor);  … - 2007
and sampling bias is avoided (as in the poll samplings). We tune it and test its performance on attributing the Federalist …
Persistent link: https://www.econbiz.de/10003634789
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Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
Trenkler, Carsten (contributor) - 2006
the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also … considers the standard asymptotic test versions and the Johansen cointegration test for comparison. -- Bootstrap ; Systems …
Persistent link: https://www.econbiz.de/10003324256