Similar Search Results

On the equivalence of indirect inference and bootstrap bias correction for linear IV estimators

Chau, Tak Wai - In: Economics letters 123 (2014) 3, pp. 333-335

Persistent link: https://www.econbiz.de/10010401303

Improved Lagrange multiplier tests in spatial autoregressions

Robinson, Peter M.; Rossi, Francesca - In: The econometrics journal 17 (2014) 1, pp. 139-164

Persistent link: https://www.econbiz.de/10010498750

Non-linearity in the inflation-growth relationship in developing economies : evidence from a semiparametric panel model

Baglan, Deniz; Yoldas, Emre - In: Economics letters 125 (2014) 1, pp. 93-96

Persistent link: https://www.econbiz.de/10010504747

Poor (wo)man's bootstrap

Honoré, Bo E.; Hu, Luojia - 2015

The bootstrap is a convenient tool for calculating standard errors of the parameters of complicated econometric models …. Unfortunately, the fact that these models are complicated often makes the bootstrap extremely slow or even practically infeasible …. This paper proposes an alternative to the bootstrap that relies only on the estimation of one-dimensional parameters. The …

Persistent link: https://www.econbiz.de/10010490878

Testing for a set of linear restrictions in VARMA models using autoregressive metric : an application to Granger causality test

Di Iorio, Francesca; Triacca, Umberto - In: Econometrics : open access journal 2 (2014) 4, pp. 203-216

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Persistent link: https://www.econbiz.de/10010479050