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Estimating the variance of a combined forecast : bootstrap-based approach

Hounyo, Ulrich; Lahiri, Kajal - In: Journal of econometrics 232 (2023) 2, pp. 445-468

Persistent link: https://www.econbiz.de/10014340010

Skewness in energy returns : estimation, testing and implications for tail risk

Carnero, M. Angeles; León, Angel; Ñíguez, Trino-Manuel - In: The quarterly review of economics and finance : journal … 90 (2023), pp. 178-189

Persistent link: https://www.econbiz.de/10014431948

Model error (or ambiguity) and its estimation, with particular application to loss reserving

Taylor, Greg; Mc Guire, Gráinne - In: Risks : open access journal 11 (2023) 11, pp. 1-28

This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...

Persistent link: https://www.econbiz.de/10014435599

Structural inference in sparse high-dimensional vector autoregressions

Krampe, Jonas; Paparoditis, Efstathios; Trenkler, Carsten - In: Journal of econometrics 234 (2023) 1, pp. 276-300

Persistent link: https://www.econbiz.de/10014364826

Frequency domain local bootstrap in short and long memory time series

Arteche, Josu - In: Econometric reviews 44 (2025) 2, pp. 163-191

Persistent link: https://www.econbiz.de/10015196596

Inference in dynamic models for panel data using the moving block bootstrap

Higgins, Ayden; Jochmans, Koen - 2025

Persistent link: https://www.econbiz.de/10015271443

Fast algorithms for the quantile regression process

Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - In: Empirical economics : a quarterly journal of the … 62 (2022) 1, pp. 7-33

Persistent link: https://www.econbiz.de/10012819429

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

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

Using a bootstrap method to choose the sample fraction in tail index estimation

Daníelsson, Jón; Haan, Laurens de; Peng, L.; Vries, … - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the …

Persistent link: https://www.econbiz.de/10010232860