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A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables

Keane, Michael P.; Sauer, Robert M. - 2009

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

Persistent link: https://www.econbiz.de/10014075292

Non-Nested Models and the Likelihood Ratio Statistic : A Comparison of Simulation and Bootstrap Based Tests

Kapetanios, George; Weeks, Melvyn - 2003

We consider an alternative use of simulation in the context of using the Likelihood-Ratio statistic to test non …-nested models. To date simulation has been used to estimate the Kullback-Leibler measure of closeness between two densities, which … study represents the first comparison of the properties of bootstrap and simulation-based tests applied to non-nested tests …

Persistent link: https://www.econbiz.de/10014086921

New strategies to improve the accuracy of predictions based on Monte Carlo and bootstrap simulations : an application to Bulgarian and Romanian inflation

Bratu, Mihaela - In: Revista de métodos cuantitativos para la economía y … 18 (2014), pp. 112-129

The necessity of improving the forecasts accuracy grew in the context of ac- tual economic crisis, but few researchers were interested till now in finding out some empirical strategies to improve their predictions. In this article, for the inflation rate forecasts on the horizon 2010 - 2012, we...

Persistent link: https://www.econbiz.de/10010506046

Arbitrary Spearman’s Rank Correlations in Maximum Entropy Bootstrap and Improved Monte Carlo Simulations

Vinod, Hrishikesh D. - 2020

The R package for maximum entropy bootstrap (meboot) is widely used for numerous applications involving statistical inference for time series data without having to do differencing or de-trending. We report some simulations confirming its effectiveness. It has been used for simulating time...

Persistent link: https://www.econbiz.de/10012831864

Classic Kriging versus Kriging with Bootstrapping or Conditional Simulation : Classic Kriging's Robust Confidence Intervals and Optimization

Mehdad, Ehsan; Kleijnen, Jack P. C. - 2014

/output function of the simulation model. Kriging also estimates the variances of the predictions of outputs for input combinations not … conditional simulation …

Persistent link: https://www.econbiz.de/10014038647

Wagner's hypothesis in Europe : a causality analysis with disaggregated data

Trofimov, Ivan D. - In: European journal of government and economics : EJGE 12 (2023) 1, pp. 5-38

root and Westerlund (2007) cointegration tests that account for cross-sectional dependence in the series, and three panel … a panel of 28 European economies during the 1995-2018 period. The hypothesis is verified using Pesaran (2007) panel unit …' integration, heterogeneous balanced panels and cases of limited evidence of cointegration. The empirical results suggested that …

Persistent link: https://www.econbiz.de/10014310932

A test for strict stationarity

Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro - In: Uncertainty analysis in econometrics with applications …, (pp. 17-30). 2013

Persistent link: https://www.econbiz.de/10009711170

Wild cluster bootstrap confidence intervals

MacKinnon, James G. - 2014

Confidence intervals based on cluster-robust covariance matrices can be constructed in many ways. In addition to conventional intervals obtained by inverting Wald (t) tests, the paper studies intervals obtained by inverting LM tests, studentized bootstrap intervals based on the wild cluster...

Persistent link: https://www.econbiz.de/10010385823

Bootstrap and asymptotic inference with multiway clustering

MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2017

We study a cluster-robust variance estimator (CRVE) for regression models with clustering in two dimensions that was proposed in Cameron, Gelback, and Miller (2011). We prove that this CRVE is consistent and yields valid inferences under precisely stated assumptions about moments and cluster...

Persistent link: https://www.econbiz.de/10011722260

Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors

Djogbenou, Antoine A.; MacKinnon, James G.; Nielsen, … - 2018

Edgeworth expansions for the asymptotic and bootstrap test statistics. Simulation experiments illustrate the theoretical results …

Persistent link: https://www.econbiz.de/10011804820