Search Results - subject:"Block Bootstrap"

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

Swanson, Norman; Armah, Nii Ayi - Department of Economics, Rutgers University-New Brunswick - 2006

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/10005750215

Predictive Density Evaluation. Revised.

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2006

This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and...

Persistent link: https://www.econbiz.de/10005839054

Chapter 5 Predictive Density Evaluation

Corradi, Valentina; Swanson, Norman R. - 2006

Persistent link: https://www.econbiz.de/10014023701

Long-Run Trends in Internal Migrations in Italy: a Study in Panel Cointegration with Dependent Units

Fachin, Stefano - EconWPA - 2005

Carlo simulations show that the test, based on the Continuous- Path Block bootstrap, has good power and size properties and …

Persistent link: https://www.econbiz.de/10005556331

Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated

Swanson, Norman R.; Corradi, Valentina - Econometric Society - 2004

provides a new block bootstrap procedure that mimics the limiting distribution of the scaled sum of the difference between the … observations are used more frequently than temporally subsequent observations. This introduces a bias to the usual block bootstrap … recursive block bootstrap can be used to provide valid critical values in a variety of interesting testing contexts, and three …

Persistent link: https://www.econbiz.de/10005063601

Predective Density and Conditional Confidence Interval Accuracy Tests

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 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/10005750164

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

Seo, Myunghwan - Econometric Society - 2004

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

Persistent link: https://www.econbiz.de/10005342185

Automatic Block-Length Selection for the Dependent Bootstrap

Politis, Dimitris; White, Halbert - In: Econometric Reviews 23 (2004) 1, pp. 53-70

We review the different block bootstrap methods for time series, and present them in a unified framework. We then … revisit a recent result of Lahiri [Lahiri, S. N. (1999b). Theoretical comparisons of block bootstrap methods, Ann. Statist. 27 … aforementioned block bootstrap methods. Our estimators are characterized by the fastest possible rate of convergence which is …

Persistent link: https://www.econbiz.de/10009228517

A Test for Comparing Multiple Misspecified Conditional Distributions

Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003

lines of the “reality check” of White (2000). Valid asymptotic critical values are obtained via a version of the block … bootstrap which properly captures the e®ect of parameter estimation error. The results of a small Monte Carlo experiment …

Persistent link: https://www.econbiz.de/10005626676

Bootstrap Specification Tests for Diffusion Processes

Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 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/10005839064