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Simulation-based Tests that Can Use Any Number of Simulations

Racine, Jeff; MacKinnon, James G. - Economics Department, Queen's University - 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/10005688306

Inference via kernel smoothing of bootstrap P values

Racine, Jeff; MacKinnon, James G. - Economics Department, Queen's University - 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/10005688509

Robust Testing for Fractional Integration Using the Bootstrap

Andersson, Michael K.; Gredenhoff, Mikael P. - Economics Institute for Research (SIR), … - 1998

Asymptotic tests for fractional integration are usually badly sized in small samples, even for normally distributed processes. Furthermore, tests that are well-sized under normality may be severely distorted by non-normalities and ARCH errors. This paper demonstrates how the bootstrap can be...

Persistent link: https://www.econbiz.de/10005423891

Bootstrapping Error Component Models

Andersson, Michael K.; Karlsson, Sune - Economics Institute for Research (SIR), … - 1999

This paper proposes several resampling algorithms suitable for error component models and evaluates them in the context …

Persistent link: https://www.econbiz.de/10005649435

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

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

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

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

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

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