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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

Confidence regions for entries of a large precision matrix

Chang, Jinyuan; Qiu, Yumou; Yao, Qiwei; Zou, Tao - In: Journal of econometrics 206 (2018) 1, pp. 57-82

Persistent link: https://www.econbiz.de/10012110361

Bias correction and refined inferences for fixed effects spatial panel data models

Yang, Zhenlin; Yu, Jihai; Liu, Shew Fan - In: Regional science & urban economics 61 (2016), pp. 52-72

Persistent link: https://www.econbiz.de/10011638864

Bootstrap and k-step bootstrap bias corrections for the fixed effects estimator in nonlinear panel data models

Kim, Min Seong; Sun, Yixiao - In: Econometric theory 32 (2016) 6, pp. 1523-1568

Persistent link: https://www.econbiz.de/10011661994

Bootstrapping factor-augmented regression models

Gonçalves, Sílvia; Perron, Benoit - In: Journal of econometrics 182 (2014) 1, pp. 156-173

Persistent link: https://www.econbiz.de/10010497094

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

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

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

Bias-correction in vector autoregressive models : a simulation study

Engsted, Tom; Pedersen, Thomas Q. - In: Econometrics : open access journal 2 (2014) 1, pp. 45-71

We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non …-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact … identical. Next, based on a detailed simulation study, we show that when the model is stationary this simple bias formula …

Persistent link: https://www.econbiz.de/10010336196

Bootstrapping structural VARs : avoiding a potential bias in confidence intervals for impulse response functions

Phillips, Kerk Layne; Spencer, David E. - In: Journal of macroeconomics 33 (2011) 4, pp. 582-594

Persistent link: https://www.econbiz.de/10009530453