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The efficiency of bias-corrected estimators for nonparametric kernel estimation based on local estimating equations

Kauermann, Göran; Müller, Marlene; Carroll, Raymond J. - 1997

Stuetzle and Mittal (1979) for ordinary nonparametric kernel regression and Kauermann and Tutz (1996) for nonparametric generalized linear model kernel regression constructed estimators with lower order bias than the usual estimators, without the need for devices such as second derivative...

Persistent link: https://www.econbiz.de/10010310781

Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 2002

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which … is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any … Monte Carlo investigation empirical size and power properties of the new method are illustrated. We compare the bootstrap …

Persistent link: https://www.econbiz.de/10010310809

Nonparametric kernel and regression spline estimation in the presence of measurement error

Maca, J. D.; Carroll, Raymond J.; Ruppert, David - 1997

In many regression applications both the independent and dependent variables are measured with error. When this happens, conventional parametric and nonparametric regression techniques are no longer valid. We consider two different nonparametric techniques, regression splines and kernel...

Persistent link: https://www.econbiz.de/10010310815

On robustness of model-based bootstrap schemes in nonparametric time series analysis

Neumann, Michael H. - 1997

asymptotically for the bootstrap to be valid. However, certain model-based bootstrap methods remain valid for some interesting … bootstrap schemes remain valid for supremum-type functionals as long as they mimic the corresponding finite-dimensional joint … distributions consistently. As an example, we investigate a finite order Markov chain bootstrap in the context of a general …

Persistent link: https://www.econbiz.de/10010310822

Polynomial regression and estimation function in the presence of multiplication measurement error, with application to nutrition

Iturria, Stephen J.; Carroll, Raymond J.; Firth, David - 1997

In this paper we consider the polynomial regression model in the presence of multiplicative measurement error in the predictor. Consistent parameter estimates and their associated standard errors are derived. Two general methods are considered, with the methods differing in their assumptions...

Persistent link: https://www.econbiz.de/10010310829

A distribution-free test for outliers

Candelon, Bertrand; Metiu, Norbert - 2013

relies on a two-stage nonparametric bootstrap procedure. Monte Carlo experiments show that the proposed test has good …

Persistent link: https://www.econbiz.de/10010311157

Microfinance Institutions’ Efficiency in the MENA region: a Bootstrap-DEA approach

Ben Abdelkader, Ines; Hathroubi, Salem; Ben Jemaa, … - 2012

The purpose of this study is to evaluate the performance of microfinance institutions in The MENA region over the period 2006-2009. Following Simar and Wilson (1998, 2000) we use a DEA-Bootstrapping methodology to drift appropriate measures of DEA efficiency scores. The estimated results show...

Persistent link: https://www.econbiz.de/10010311607

Testing for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - 2013

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

Persistent link: https://www.econbiz.de/10010316931

Alterntive tests for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - 2011

Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...

Persistent link: https://www.econbiz.de/10010316938

A simple two-step method for testing moment inequalities with an application to inference in partially identified models

Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - 2012

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are negative. A...

Persistent link: https://www.econbiz.de/10010316942