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Bias reduction of long memory parameter estimators via the pre-filtered Sieve bootstrap
Poskitt, Donald Stephen; Martin, Gael M.; Grose, Simone D. - 2014 - Rev. Ed.
Persistent link: https://www.econbiz.de/10010349989
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Improving the finite sample performance of autoregression estimators in dynamic factor models : a bootstrap approach
Shintani, Mototsugu; Guo, Zi-yi - 2015
Persistent link: https://www.econbiz.de/10011448651
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Finite sample performance of principal components estimators for dynamic factor models : asymptotic vs. bootstrap approximations
Shintani, Mototsugu; Guo, Zi-Yi - 2011 - This version: January 2011
the bias is larger for a more persistent factor. In such a case, bootstrap procedures are effective in reducing the bias …
Persistent link: https://www.econbiz.de/10011723905
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Improving the finite sample performance of autoregression estimators in dynamic factor models : a bootstrap approach
Shintani, Mototsugu; Guo, Zi-Yi - In: Econometric reviews 37 (2018) 1/5, pp. 360-379
Persistent link: https://www.econbiz.de/10012039266
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Bias correctoin of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
Poskitt, Donald Stephen; Martin, M.; Grose, Simone D. - In: Econometric theory 33 (2017) 3, pp. 578-609
Persistent link: https://www.econbiz.de/10011810039
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Bias correction of persistence measures in fractionally integrated models
Grose, Simone D.; Martin, Gael M.; Poskitt, Donald Stephen - 2014 - Revised 13, 29
Persistent link: https://www.econbiz.de/10011780804
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Estimation and inference for three-dimensional panel data models
Feng, Guohua; Gao, Jiti; Liu, Fei; Peng, Bin - 2024
Persistent link: https://www.econbiz.de/10014584601
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Estimation and inference for three-dimensional panel data models
Feng, Guohua; Gao, Jiti; Liu, Fei; Peng, Bin - 2023
Persistent link: https://www.econbiz.de/10014452624
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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
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A new bootstrap test for multiple assets joint risk testing
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart - In: Journal of risk 19 (2016/2017) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10011710231