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On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests
Andrews, Donald W.K.; Buchinsky, Moshe - Cowles Foundation for Research in Economics, Yale University - 1997
This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors, confidence intervals, and tests. For each of these problems, the paper provides a three-step method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the...
Persistent link: https://www.econbiz.de/10004990816
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The bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependence
Gramespacher, Thomas; Bänziger, Armin - In: Review of Pacific Basin financial markets and policies 22 (2019) 2, pp. 1950012-1-1950012-17
Persistent link: https://www.econbiz.de/10012139945
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Calculating confidence intervals for continuous and discontinuous functions of parameters
Woutersen, Tiemen; Ham, John C. - 2013
Applied researchers often need to estimate confidence intervals for functions of parameters, such as the effects of counterfactual policy changes. If the function is continuously differentiable and has non-zero and bounded derivatives, then they can use the delta method. However, if the function...
Persistent link: https://www.econbiz.de/10009747952
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Decomposing portfolio value-at-risk : a general analysis
Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011301159
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Finite sample correction factors for panel cointegration tests
Hlouskova, Jaroslava; Wagner, Martin - 2009
In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005). For the single equation tests we consider up...
Persistent link: https://www.econbiz.de/10010294038
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Simulation-based Tests that Can Use Any Number of Simulations
Racine, Jeff; MacKinnon, James G. - 2004
bootstrap tests, is likely to be most useful when simulation is expensive. …
Persistent link: https://www.econbiz.de/10011940649
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Calculating confidence intervals for continuous and discontinuous functions of parameters
Woutersen, Tiemen; Ham, John C. - 2013
Applied researchers often need to estimate confidence intervals for functions of parameters, such as the effects of counterfactual policy changes. If the function is continuously differentiable and has non-zero and bounded derivatives, then they can use the delta method. However, if the function...
Persistent link: https://www.econbiz.de/10010318679
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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/10010285997
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Computing numerical distribution functions in econometrics
MacKinnon, James - 2001
conduct asymptotic inference, it is therefore necessary to resort to simulation. Techniques that have commonly been used yield …
Persistent link: https://www.econbiz.de/10010290345
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A New Solution to Time Series Inference in Spurious Regression Problems
Vinod, Hrishikesh D. - Economics Department, Fordham University - 2010
-de-Lacalle (2009). An extensive Monte Carlo simulation shows that our proposal can provide more reliable conservative confidence …
Persistent link: https://www.econbiz.de/10008634610