Search Results - subject:"Block Bootstrap"

Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap

Seo, Myung Hwan - London School of Economics (LSE) - 2005

parameters. Second, the consistency of the proposed residual-based block bootstrap is established based on a newly developed …

Persistent link: https://www.econbiz.de/10010928673

Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap

Seo, Myunghwan - Suntory and Toyota International Centres for Economics … - 2005

parameters. Second, the consistency of the proposed residual-based block bootstrap is established based on a newly developed …Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap by Myunghwan … in a Tar 3.Residual-based Block Bootstrap 4. Monte Carlo Simulation 5. An Empirical Illustration 6. Conclusion A …

Persistent link: https://www.econbiz.de/10005797526

Geographic versus industry diversification: constraints matter

Ehling, Paul; Ramos, Sofia Brito - European Central Bank - 2005

This research addresses whether geographic diversification provides benefits over industry diversification. In the absence of constraints, no empirical evidence is found to support the argument that country diversification is superior. With short-selling constraints, however, the geographic...

Persistent link: https://www.econbiz.de/10005222313

Dynamic GSCA (Generalized Structured Component Analysis) with Applications to the Analysis of Effective Connectivity in Functional Neuroimaging Data

Jung, Kwanghee; Takane, Yoshio; Hwang, Heungsun; … - In: Psychometrika 77 (2012) 4, pp. 827-848

moving block bootstrap method is used to assess reliability of parameter estimates, which deals with time dependence between …

Persistent link: https://www.econbiz.de/10010848131

Discussion of “An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models” by F. Battaglia and M. K. Protopapas

Mudelsee, M. - In: Statistical Methods and Applications 21 (2012) 3, pp. 341-346

The paper by Battaglia and Protopapas (Stat Method Appl 2012) is stimulating. It gives an elegant mathematical generalization of autoregressive models (the nine types). It explains state-of-the-art model fitting techniques (genetic algorithm combined with fitness function and least squares). It...

Persistent link: https://www.econbiz.de/10010998691

Predective Density and Conditional Confidence Interval Accuracy Tests

Corradi, Valentina; Swanson, Norman R. - 2004

This paper outlines testing procedures for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models. The tests that are discussed are based on either the comparison of entire conditional distributions or the comparison of predictive confidence...

Persistent link: https://www.econbiz.de/10010276819

Econometric Inference, Cyclical Fluctuations, and Superior Information

Normandin, Michel - Institut d'Économie Appliquée, HEC Montréal (École … - 2004

This paper presents and assesses a procedure to estimate conventional parameters characterizing fluctuations at the business cycle frequency, when the economic agents’ information set is superior to the econometrician’s one. Specifically, we first generalize the conditions under which the...

Persistent link: https://www.econbiz.de/10005489854

Econometric Inference, Cyclical Fluctuations, and Superior Information

Larocque, Denis; Normandin, Michel - Centre Interuniversitaire sur le Risque, les Politiques … - 2004

This paper presents and assesses a procedure to estimate conventional parameters characterizing fluctuations at the business cycle frequency, when the economic agents' information set is superior to the econometrician's one. Specifically, we first generalize the conditions under which the...

Persistent link: https://www.econbiz.de/10005696285

Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification

Corradi, Valentina; Swanson, Norman R. - 2003

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional … empirical process version of the block bootstrap to the case of non vanishing parameter estimation error. The findings from …

Persistent link: https://www.econbiz.de/10010263212

The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation

Swanson, Norman R.; Corradi, Valentina - 2003

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Persistent link: https://www.econbiz.de/10010263214