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asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general … montrons aussi que les tests basés sur la technique du bootstrap paramétrique peut s'interpréter comme une version simplifiée … plus générales que le bootstrap paramétrique. …
Persistent link: https://www.econbiz.de/10005100868
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10005100885
to be used in conjunction with more traditional simulation-based test methods (e.g., the parametric bootstrap) which may … plus traditionnelles (telles que le bootstrap paramétrique) que l'on peut appliquer lorsque le test à borne n'est pas …
Persistent link: https://www.econbiz.de/10005100889
We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005100952
In this paper, we propose finite and large sample likelihood based test procedures for possibly non-linear hypotheses on the coefficients of SURE systems. Two complementary approaches are described. First, we propose an exact Monte Carlo bounds test based on the standard likelihood ratio...
Persistent link: https://www.econbiz.de/10005696246
In this paper, we propose finite and large sample likelihood based test procedures for possibly non-linear hypotheses on the coefficients of SURE systems. Two complementary approaches are described. First, we propose an exact Monte Carlo bounds test based on the standard likelihood ratio...
Persistent link: https://www.econbiz.de/10005696420
the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading …
Persistent link: https://www.econbiz.de/10008671539
asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general …
Persistent link: https://www.econbiz.de/10008671575
, residual-based bootstrap methods are introduced for asymptotically refined approximations to the finite sample critical values … conditions are not fully met, bootstrap may lead to unstable critical values that change significantly with the alternative …, whereas when all conditions are met, bootstrap critical values are very stable, approximate much better the finite sample …
Persistent link: https://www.econbiz.de/10010690406
-reject considerably. We investigate more accurate inference using cluster bootstrap-t procedures that provide asymptotic refinement. These … tests of nominal size 0.05, our methods can reduce this to five percent. In principle a pairs cluster bootstrap should work … well, but in practice a Wild cluster bootstrap performs better. …
Persistent link: https://www.econbiz.de/10008620355