Showing 1 - 10 of 16,798
the increasing need for faster, and more efficient and scalable, permutation test and bootstrap algorithms. Seven … bootstrap and six permutation test algorithms coded in SAS (the largest privately owned software firm globally) are compared …. The fastest algorithms (“OPDY” for the bootstrap, “OPDN” for permutation tests) are new, use no modules beyond Base SAS …
Persistent link: https://www.econbiz.de/10012974353
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
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
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
This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are "negative." A...
Persistent link: https://www.econbiz.de/10010354626
With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a...
Persistent link: https://www.econbiz.de/10011317836
-run asymmetry are generally oversized if the threshold parameter is estimated by conditional least squares and show that bootstrap …
Persistent link: https://www.econbiz.de/10012025641
The standard forms of bootstrap iteration are very computationally demanding. As a result, there have been several … attempts to alleviate the computational burden by use of approximations. In this paper, we extend the fast double bootstrap of … demands increase exponentially. In a series of simulation experiments, we show that the fast triple bootstrap improves on both …
Persistent link: https://www.econbiz.de/10014153678
perfect rank correlation between the actual and bootstrapped time series. We propose the Maximum Entropy Block Bootstrap which … preserves the rank correlation locally. Further, we also introduce the Maximum non-extensive Entropy Block Bootstrap to allow … Monte Carlo analysis where we bootstrap the distribution of the Dickey-Fuller test …
Persistent link: https://www.econbiz.de/10013025071
According to IFRS 9, an Entity shall assess - by performing a quantitative assessment - the relevance of the modification of the time value of money element, i.e. the modification of the interest that can be observed, e.g. in all the instruments whose underlying interest rate tenors are...
Persistent link: https://www.econbiz.de/10012946977