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Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - In: Economics: The Open-Access, Open-Assessment E-Journal 14 (2020) 2020-4, pp. 1-18

This paper shows how to bootstrap hypothesis tests in the context of the Parks's (1967) Feasible Generalized Least … Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)'s top competitor. The FGLS(Parks) estimator …

Persistent link: https://www.econbiz.de/10012160886

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/10012018487

Bootstrap inference of level relationships in the presence of serially correlated errors : a large scale simulation study and an application in energy demand

Yalta, A. Talha - In: Computational economics 48 (2016) 2, pp. 339-366

Persistent link: https://www.econbiz.de/10011646786

Simulation optimization through regression or Krigin metamodels

Kleijnen, Jack P. C. - 2017

Persistent link: https://www.econbiz.de/10011659473

Improving the power of tests of stochastic dominance

Donald, Stephen G.; Hsu, Yu-Chin - In: Econometric reviews 35 (2016) 1/4, pp. 553-585

Persistent link: https://www.econbiz.de/10011550043

A nonparametric specification test for the volatility functions of diffusion processes

Chen, Qiang; Hu, Meidi; Song, Xiaojun - In: Econometric reviews 38 (2019) 5, pp. 557-576

Persistent link: https://www.econbiz.de/10012181335

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2020

This paper shows how to bootstrap hypothesis tests in the context of the Parks’s (1967) Feasible Generalized Least … Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)’s top competitor. The FGLS(Parks) estimator …

Persistent link: https://www.econbiz.de/10012160012

Optimal multi-step-ahead prediction of ARCH/GARCH models and NoVaS transformation

Chen, Jie; Politis, Dimitris N. - In: Econometrics : open access journal 7 (2019) 3/34, pp. 1-23

This paper gives a computer-intensive approach to multi-step-ahead prediction of volatility in financial returns series under an ARCH/GARCH model and also under a model-free setting, namely employing the NoVaS transformation. Our model-based approach only assumes i..id innovations without...

Persistent link: https://www.econbiz.de/10012160870

Testing competing factor pricing models

Söderlind, Paul - 2016 - This version: May 2016

A GMM-based system for two different linear factor pricing models is used to test if the pricing errors are the same. Simulations demonstrate the small sample properties. As an illustration, the test is applied to the Fama-French (1996, 2015) models.

Persistent link: https://www.econbiz.de/10011686300

Stock price simulation using bootstrap and Monte Carlo

Pažický, Martin - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 155-170

Persistent link: https://www.econbiz.de/10011865983