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A bootstrap test for symmetry of dependent data based on a Kolmogorov-Smirrnov type statistics

Psaradakis, Zacharias G. - 2002

Persistent link: https://www.econbiz.de/10001717796

Measurement and estimation of credit migration matrices

Schuermann, Til (contributor); Jafry, Yusuf (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001754507

Consistent specification tests for semiparametric/nonparametric models based on series estimation methods

Li, Qi; Hsiao, Cheng; Zinn, Joel - In: Journal of econometrics 112 (2003) 2, pp. 295-325

Persistent link: https://www.econbiz.de/10001731319

A predictability test for a small number of nested models

Granziera, Eleonora; Hubrich, Kirstin; Moon, Hyungsik Roger - In: Journal of econometrics 182 (2014) 1, pp. 174-185

Persistent link: https://www.econbiz.de/10010497092

Testing conditional independence via empirical likelihood

Su, Liangjun; White, Halbert - In: Journal of econometrics 182 (2014) 1, pp. 27-44

Persistent link: https://www.econbiz.de/10010497148

Validity of the Parametric Bootstrap for Goodness-of-Fit Testing in Dynamic Models

Remillard, Bruno - 2011

It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time …

Persistent link: https://www.econbiz.de/10013117934

Testing for Parameter Restrictions in a Stationary VAR Model : A Bootstrap Alternative

Kim, Jae H. - 2014

This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a … stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the generalized least square estimator for … VAR parameters, which takes account of contemporaneous correlations among the error terms. It is found that the bootstrap …

Persistent link: https://www.econbiz.de/10013058819

A new reciprocal Rayleigh extension : properties, copulas, different methods of estimation and a modified right-censored test for validation

Yousof, Haitham M.; Ali, M. Masoom; Goual, Hafida; … - In: Statistics in transition : an international journal of … 22 (2021) 3, pp. 99-121

In this article, a new reciprocal Rayleigh extension called the Xgamma reciprocal Rayleigh model is defined and studied. The relevant statistical properties are derived, and the useful results related to the convexity and concavity are addressed. We discussed the estimation of the parameters...

Persistent link: https://www.econbiz.de/10012655804

Bootstrap methods in econometrics

Horowitz, Joel - In: Annual review of economics 11 (2019), pp. 193-224

Persistent link: https://www.econbiz.de/10012623431

"Go Wild for a While!" : A New Asymptotically Normal Test for Forecast Evaluation in Nested Models

Pincheira, Pablo M.; Hardy, Nicolas; Muñoz, Felipe - 2021

In this paper we present a new asymptotically normal test for out-of-sample evaluation in nested models. Our approach is a simple modification of a traditional encompassing test that is commonly known as Clark and West test (CW). The key point of our strategy is to introduce an independent...

Persistent link: https://www.econbiz.de/10013240459