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On the choice of regularization parameters in specification testing : a critical discussion
Sperlich, Stefan - In: Empirical economics : a journal of the Institute for … 47 (2014) 2, pp. 427-450
Persistent link: https://www.econbiz.de/10010391166
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Automatic Block-Length Selection for the Dependent Bootstrap
Politis, Dimitris; White, Halbert - In: Econometric Reviews 23 (2004) 1, pp. 53-70
We review the different block bootstrap methods for time series, and present them in a unified framework. We then … revisit a recent result of Lahiri [Lahiri, S. N. (1999b). Theoretical comparisons of block bootstrap methods, Ann. Statist. 27 … aforementioned block bootstrap methods. Our estimators are characterized by the fastest possible rate of convergence which is …
Persistent link: https://www.econbiz.de/10009228517
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Estimating alternative technology sets in nonparametric efficiency analysis: Restriction tests for panel and clustered data
Neumann, Anne; Nieswand, Maria; Schubert, Torben - 2013
Nonparametric efficiency analysis has become a widely applied technique to support industrial benchmarking as well as a variety of incentive-based regulation policies. In practice such exercises are often plagued by incomplete knowledge about the correct specifications of inputs and outputs....
Persistent link: https://www.econbiz.de/10010292679
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Comparison of separable components in different samples
Neumeyer, Natalie; Sperlich, Stefan - 2003
our approach bootstrap fails in practice and theory. Instead, we propose a subsampling procedure with automatic parameter …
Persistent link: https://www.econbiz.de/10010306253
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A critical value function approach, with an application to persistent time-series
Moreira, Marcelo J.; Mourão, Rafael; Moreira, Humberto - 2016
Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis...
Persistent link: https://www.econbiz.de/10011594335
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A fast resample method for parametric and semiparametric models
Armstrong, Timothy B.; Bertanha, Marinho; Hong, Han - In: Journal of econometrics 179 (2014) 2, pp. 128-133
Persistent link: https://www.econbiz.de/10010372656
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Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
Moreira, Humberto; Moreira, Marcelo J. - 2016 - This version: June 10, 2016
This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We...
Persistent link: https://www.econbiz.de/10011485564
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A critical value function approach, with an application to persistent time-series
Moreira, Marcelo J.; Mourão, Rafael; Moreira, Humberto - 2016
Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis...
Persistent link: https://www.econbiz.de/10011485576
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Comparison of separable components in different samples
Neumeyer, Natalie; Sperlich, Stefan - 2003
our approach bootstrap fails in practice and theory. Instead, we propose a subsampling procedure with automatic parameter …
Persistent link: https://www.econbiz.de/10010477832
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Predictability hidden by anomalous observations
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013
Persistent link: https://www.econbiz.de/10010221576