Search Results - subject:"Block Bootstrap"

A Test for Comparing Multiple Misspecified Conditional Distributions

Corradi, Valentina; Swanson, Norman R. - 2003

This paper introduces a conditional Kolmogorov test, in the spirit of Andrews (1997), that allows for comparison of multiple misspecifed conditional distribution models, for the case of dependent observations. A conditional confidence interval version of the test is also discussed. Model...

Persistent link: https://www.econbiz.de/10010263215

Bootstrap Specification Tests for Diffusion Processes

Corradi, Valentina; Swanson, Norman R. - 2003

for the test, we use an empirical process version of the block bootstrap which properly accounts for the contribution of …

Persistent link: https://www.econbiz.de/10010263219

In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008

Swanson, Norman R.; Cai, Lili - Department of Economics, Rutgers University-New Brunswick - 2011

We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...

Persistent link: https://www.econbiz.de/10009372746

Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output

Swanson, Norman R.; Armah, Nii Ayi - Department of Economics, Rutgers University-New Brunswick - 2011

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

Persistent link: https://www.econbiz.de/10009372761

Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models

Shen, Xiangjin; Tsurumi, Hiroki - Department of Economics, Rutgers University-New Brunswick - 2011

We compare Bayesian and sample theory model specification criteria. For the Bayesian criteria we use the deviance information criterion and the cumulative density of the mean squared errors of forecast. For the sample theory criterion we use the conditional Kolmogorov test. We use Markov chain...

Persistent link: https://www.econbiz.de/10009372764

Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models

Swanson, Norman R.; Corradi, Valentina - Department of Economics, Rutgers University-New Brunswick - 2011

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we...

Persistent link: https://www.econbiz.de/10009372770

Block Bootstrap and Long Memory

Kapetanios, George; Papailias, Fotis - School of Economics and Finance, Queen Mary - 2011

We consider the issue of Block Bootstrap methods in processes that exhibit strong dependence. The main difficulty is to … series <i>dˆ</i> times, 3) apply the block bootstrap on the above and finally, 4) cumulate the bootstrap sample <i …

Persistent link: https://www.econbiz.de/10009140909

Fixed-income fund performance : role of luck and ability in tail membership

Ayadi, Mohamed A.; Kryzanowski, Lawrence - In: Journal of empirical finance 18 (2011) 3, pp. 379-392

Persistent link: https://www.econbiz.de/10009302108

Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models

Gonçalves, Sílvia; White, Halbert - Centre Interuniversitaire de Recherche en Analyse des … - 2002

We provide a unified framework for analyzing bootstrapped extremum estimators of nonlinear dynamic models for heterogeneous dependent stochastic processes. We apply our results to the moving blocks bootstrap of Künsch (1989) and Liu and Singh (1992) and prove the first order asymptotic validity...

Persistent link: https://www.econbiz.de/10005100803

The Block-block Bootstrap: Improved Asymptotic Refinements

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2002

The asymptotic refinements attributable to the block bootstrap for time series are not as large as those of the …, we propose a method of solving this problem. The idea is not to alter the block bootstrap. Instead, we alter the original … sample statistics to which the block bootstrap is applied. We introduce block statistics that possess join-point features …

Persistent link: https://www.econbiz.de/10005593249