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Localized level crossing random walk test robust to the presence of structural breaks

Alexeev, Vitali; Maynard, Alex - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3322-3344

A modified version of the nonparametric level crossing random walk test is proposed, in which the crossing level is determined locally. This modification results in a test that is robust to unknown multiple structural breaks in the level and slope of the trend function under both the null and...

Persistent link: https://www.econbiz.de/10010617635

What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance

Chang, Chia-Lin; McAleer, Michael - Department of Economics and Finance, College of … - 2013

robustness of the rankings is also analysed. …

Persistent link: https://www.econbiz.de/10010627487

A robust instrumental-variables estimator

Desbordes, Rodolphe; Verardi, Vincenzo - In: Stata Journal 12 (2012) 2, pp. 169-181

The classical instrumental-variables estimator is extremely sensitive to the presence of outliers in the sample. This is a concern because outliers can strongly distort the estimated effect of a given regressor on the dependent variable. Although outlier diagnostics exist, they frequently fail...

Persistent link: https://www.econbiz.de/10010631474

Robustifying principal component analysis with spatial sign vectors

Taskinen, Sara; Koch, Inge; Oja, Hannu - In: Statistics & Probability Letters 82 (2012) 4, pp. 765-774

robust covariance estimators are derived in order to compare the robustness and efficiency properties. We show in particular …

Persistent link: https://www.econbiz.de/10010571751

Robust monopoly pricing

Bergemann, Dirk; Schlag, Karl - In: Journal of Economic Theory 146 (2011) 6, pp. 2527-2543

absence of uncertainty. The concern for robustness leads the seller to concede a larger information rent to all buyers with …

Persistent link: https://www.econbiz.de/10010572393

On the median regression for SURE models with applications to 3-generation immigrants data in Sweden

Shukur, Ghazi; Zeebari, Zangin - In: Economic Modelling 28 (2011) 6, pp. 2566-2578

In this paper we generalize the median regression method to be applicable to system of regression equations, in particular SURE models. Giving the existence of proper system wise medians of the residuals from different equations, we apply the weighted median regression with the weights obtained...

Persistent link: https://www.econbiz.de/10010573371

Robust subsampling

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of Econometrics 167 (2012) 1, pp. 197-210

We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling … can be applied instead. To overcome these robustness problems, we introduce a consistent robust subsampling procedure for … regression model. Monte Carlo simulations in two settings where the bootstrap fails show the accuracy and robustness of the …

Persistent link: https://www.econbiz.de/10010574079

Computation of optimal plotting points based on Pitman closeness with an application to goodness-of-fit for location-scale families

Balakrishnan, N.; Davies, K.F.; Keating, J.P.; Mason, R.L. - In: Computational Statistics & Data Analysis 56 (2012) 9, pp. 2637-2649

Plotting points of order statistics are often used in the determination of goodness-of-fit of observed data to theoretical percentiles. Plotting points are usually determined by using nonparametric methods which produce, for example, the mean- and median-ranks. Here, we use a distribution-based...

Persistent link: https://www.econbiz.de/10010574486

Robust empirical likelihood inference for generalized partial linear models with longitudinal data

Qin, Guoyou; Bai, Yang; Zhu, Zhongyi - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 32-44

random vectors to achieve robustness against outliers in both the response and covariates. Simulation studies demonstrate the …

Persistent link: https://www.econbiz.de/10010576502

Cross-checking optimal monetary policy with information from the Taylor rule

Tillmann, Peter - In: Economics Letters 117 (2012) 1, pp. 204-207

This paper shows that monetary policy should be delegated to a central bank that cross-checks optimal policy with information from the Taylor rule. Placing some weight on deviations from a Taylor rule reduces the stabilization bias of discretionary monetary policy.

Persistent link: https://www.econbiz.de/10010580448