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A discrete model for bootstrap iteration
Davidson, Russell - 2015
In an attempt to free bootstrap theory from the shackles of asymptotic considerations, this paper studies the … possibility of justifying, or validating, the bootstrap, not by letting the sample size tend to infinity, but by considering the … sequence of bootstrap P values obtained by iterating the bootstrap. The main idea of the paper is that, if this sequence …
Persistent link: https://www.econbiz.de/10011295590
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A bootstrap test for instrument validity in heterogeneous treatment effect models
Kitagawa, Toru - 2013
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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The Romano-Wolf multiple hypothesis correction in Stata
Clarke, Damian; Romano, Joseph P.; Wolf, Michael - 2019
When considering multiple hypothesis tests simultaneously, standard statistical techniques will lead to over-rejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this paper we discuss the Romano-Wolf multiple hypothesis correction, and...
Persistent link: https://www.econbiz.de/10012147332
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Improving weighted least squares inference
DiCiccio, Cyrus J.; Romano, Joseph P.; Wolf, Michael - 2016
shown that a bootstrap approximation to the sampling distribution of the weighted least squares estimate is valid, which …-sample properties of this new estimator as well as the improvements in performance realized by bootstrap confidence intervals. …
Persistent link: https://www.econbiz.de/10011663191
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Using large samples in econometrics
MacKinnon, James G. - 2021
As I document using evidence from a journal data repository that I manage, the datasets used in empirical work are getting larger. When we use very large datasets, it can be dangerous to rely on standard methods for statistical inference. In addition, we need to worry about computational issues....
Persistent link: https://www.econbiz.de/10013254704
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Improving weighted least squares inference
DiCiccio, Cyrus J.; Romano, Joseph P.; Wolf, Michael - 2016
shown that a bootstrap approximation to the sampling distribution of the weighted least squares estimate is valid, which …-sample properties of this new estimator as well as the improvements in performance realized by bootstrap confidence intervals. …
Persistent link: https://www.econbiz.de/10011518606
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Predictability hidden by anomalous observations
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013
Persistent link: https://www.econbiz.de/10010221576
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Using large samples in econometrics
MacKinnon, James G. - 2021
As I document using evidence from a journal data repository that I manage, the datasets used in empirical work are getting larger. When we use very large datasets, it can be dangerous to rely on standard methods for statistical inference. In addition, we need to worry about computational issues....
Persistent link: https://www.econbiz.de/10012815681
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019
This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …
Persistent link: https://www.econbiz.de/10012020272
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Testing a model of the UK by the method of indirect inference
Minford, Patrick; Theodoridis, Konstantinos; Meenagh, David - 2007
We use the method of indirect inference to test a full open economy model of the UK that has been in forecasting use for three decades. The test establishes, using a Wald statistic, whether the parameters of a time-series representation estimated on the actual data lie within some confidence...
Persistent link: https://www.econbiz.de/10010322756