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Simulation-based Tests that Can Use Any Number of Simulations
Racine, Jeff; MacKinnon, James G. - 2004
Conventional procedures for Monte Carlo and bootstrap tests require that B, the number of simulations, satisfy a specific relationship with the level of the test. Otherwise, a test that would instead be exact will either overreject or underreject for finite B. We present expressions for the...
Persistent link: https://www.econbiz.de/10011940649
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Inference via kernel smoothing of bootstrap P values
Racine, Jeff; MacKinnon, James G. - 2006
Resampling methods such as the bootstrap are routinely used to estimate the finite-sample null distributions of a range …
Persistent link: https://www.econbiz.de/10011940672
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Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
Trenkler, Carsten (contributor) - 2006
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...
Persistent link: https://www.econbiz.de/10003324256
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Robust resampling methods for time series
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010
We study the robustness of block resampling procedures for time series. We first derive a set of formulas to … applications. This renders inference based on standard resampling methods useless already in simple estimation and testing settings …. To solve this problem, we introduce a robust fast resampling scheme that is applicable to a wide class of time series …
Persistent link: https://www.econbiz.de/10003971115
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How to implement the bootstrap in static or stable dynamic regression models
Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10011325661
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Inference with large clustered datasets
MacKinnon, James G. - 2016
Inference using large datasets is not nearly as straightforward as conventional econometric theory suggests when the disturbances are clustered, even with very small intra-cluster correlations. The information contained in such a dataset grows much more slowly with the sample size than it would...
Persistent link: https://www.econbiz.de/10011528432
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Bootstrap tests of mean-variance efficiency with multiple portfolio groupings
Gungor, Sermin; Luger, Richard - 2014
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. A direct test of the joint null hypothesis may not be possible with standard methods when the total number of...
Persistent link: https://www.econbiz.de/10010429974
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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
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Bootstrap DEA and hypothesis testing
Tziogkidis, Panagiotis - 2012
Bootstrapping non-parametric models is a fairly complicated exercise which is associated with implicit assumptions or requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade; however, some of its assumptions and properties are...
Persistent link: https://www.econbiz.de/10009583705
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Bootstrap inference in single equation error correction models
Herwartz, Helmut; Neumann, Michael H. - 2000
In the sequel of its seminal application in Davidson, Hendry, Srba and Yeo (1978) the single equation error correction model has been widely used in empirical practice. Providing a clear distinction between short- and long-run dynamics this model allows OLS-methods to be as efficient as...
Persistent link: https://www.econbiz.de/10009612036