Search Results - subject:"Asymptotic refinements"

Bootstrapping quasi likelihood ratio tests under misspecification

Bertail, Patrice; Lavergne, Pascal - 2020

Persistent link: https://www.econbiz.de/10012216207

Residual bootstrap tests in linear models with many regressors

Richard, Patrick - In: Journal of econometrics 208 (2019) 2, pp. 367-394

Persistent link: https://www.econbiz.de/10012145036

Asymptotic refinements of nonparametric bootstrap for quasi-likelihood ratio tests for classes of extremum estimators

Camponovo, Lorenzo - In: The econometrics journal 19 (2016) 1, pp. 33-54

Persistent link: https://www.econbiz.de/10011487564

LM tests of spatial dependence based on bootstrap critical values

Yang, Zhenlin - In: Journal of Econometrics 185 (2015) 1, pp. 33-59

To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which...

Persistent link: https://www.econbiz.de/10011190729

LM tests of spatial dependence based on bootstrap critical values

Yang, Zhenlin - In: Journal of econometrics 185 (2015) 1, pp. 33-59

Persistent link: https://www.econbiz.de/10011339908

Using linear interpolation to reduce the order of the coverage error of nonparametric prediction intervals based on right-censored data

Beutner, E.; Cramer, E. - In: Journal of Multivariate Analysis 129 (2014) C, pp. 95-109

We prove a general result showing that a simple linear interpolation between adjacent random variables reduces the coverage error of nonparametric prediction intervals for a future observation from the same underlying distribution function from O(n−1) to O(n−2). To illustrate the result we...

Persistent link: https://www.econbiz.de/10011041889

LM Tests of Spatial Dependence Based on Bootstrap Critical Values

Yang, Zhenlin - School of Economics, Singapore Management University - 2013

To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, infinite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which...

Persistent link: https://www.econbiz.de/10010690406

Bootstrapping GMM Estimators for Time Series

Inoue, Atsushi; Shintani, Mototsugu - Vanderbilt University Department of Economics - 2001

This paper establishes that the bootstrap provides asymptotic refinements for the generalized method of moments … estimator in the Edgeworth expansion, we show that the bootstrap provides asymptotic refinements when kernels whose …

Persistent link: https://www.econbiz.de/10005595895

Extending the Use of the Block-Block Bootstrap to AR(âˆž) Processes

Bunzel, Helle; Iglesias, Emma M. - Department of Economics, Iowa State University - 2008

and proved that it obtained better asymptotic refinements than the block bootstrap. To date the ability to obtain … asymptotic refinements with bootstrap methods has been restricted to data with very limited dependence. In this paper we show … that the ability to obtain asymptotic refinements extends to the very important case of AR(∞) models. Specifically, we show …

Persistent link: https://www.econbiz.de/10005433328