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Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014

If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...

Persistent link: https://www.econbiz.de/10010361470

Bootstrap point optimal unit root tests

Wang, Liqiong - In: Journal of time series econometrics 6 (2014) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10010225261

On distributions of ratios

Broda, Simon A.; Kan, Raymond - 2013

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

Persistent link: https://www.econbiz.de/10010227300

Tie the straps : uniform bootstrap con fidence bands for bounded influence curve estimators

Härdle, Wolfgang; Ritov, Ya'acov; Wang, Weining - 2013

We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and … verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are …. Our bootstrap method can be used in many situations like constructing con dence intervals and bands. We demonstrate the …

Persistent link: https://www.econbiz.de/10010195959

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

compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models …

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

A bootstrap-based method to achieve optimality in estimating the extreme-value index

Haan, Laurens de; Peng, Liang; Pereira, T. Themido - 1997

Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved...

Persistent link: https://www.econbiz.de/10010342310

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

Testing for long memory in potentially nonstationary perturbed fractional processes

Frederiksen, Per; Nielsen, Frank S. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 329-381

Persistent link: https://www.econbiz.de/10010351544

Testing for a general class of functional inequalities

Lee, Sokbae; Song, Kyungchul; Whang, Yoon-jae - 2014

functionals of kernel-type estimators (1 < p < ∞) and is easy to implement in general, mainly due to its recourse to the bootstrap … method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated … "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large …

Persistent link: https://www.econbiz.de/10010254852

Better risk and performance estimates with factor-model Monte Carlo

Jiang, Yindeng; Martin, Doug - In: Journal of risk 17 (2014/2015) 5, pp. 29-67

Persistent link: https://www.econbiz.de/10011438893