Search Results - subject:"Exact Distribution"

Unit root tests considering initial values and a concise method for computing powers

Hitomi, Kohtaro; Jin, Jianwei; Nagai, Keiji; Nishiyama, … - 2022

Persistent link: https://www.econbiz.de/10014284744

Exact inference in long-horizon predictive quantile regressions with an application to stock returns

Gungor, Sermin; Luger, Richard - In: Journal of financial econometrics 19 (2021) 4, pp. 746-788

Persistent link: https://www.econbiz.de/10012654991

Two New Zealand Pioneer Econometricians

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2010

1950s, opened up the field of exact distribution theory, developed cyclical growth models in economic theory, and spent …

Persistent link: https://www.econbiz.de/10008548959

Exact goodness-of-fit tests for censored dats

Grane, Aurea - Departamento de Estadistica, Universidad Carlos III de … - 2009

The statistic introduced in Fortiana and Grané (2003) is modified so that it can be used to test the goodness-of-fit of a censored sample, when the distribution function is fully specified. Exact and asymptotic distributions of three modified versions of this statistic are obtained and exact...

Persistent link: https://www.econbiz.de/10004988535

The exact distribution of the Hansen-Jagannathan bound

Kan, Raymond; Robotti, Cesare - 2008

Under the assumption of multivariate normality of asset returns, this paper presents a geometrical interpretation and the finite-sample distributions of the sample Hansen-Jagannathan (1991) bounds on the variance of admissible stochastic discount factors, with and without the nonnegativity...

Persistent link: https://www.econbiz.de/10010292327

Exact Distribution Theory in Structural Estimation with an Identity

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2007

Some exact distribution theory is developed for structural equation models with and without identities. The theory … Bergstrom (1962). General IV exact distribution formulae for a structural equation model without an identity are shown to apply … uniform asymptotic approximation provides the exact distribution of the OLS estimator in the model considered by Bergstrom …

Persistent link: https://www.econbiz.de/10005463867

Maximally selected chi-square statistics and binary splits of nominal variables

Boulesteix, Anne-Laure - 2005

this paper, we derive the exact distribution of the maximally selected chi-square statistic in this case using a …

Persistent link: https://www.econbiz.de/10010266224

Improved HAR Inference

Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2005

Employing power kernels suggested in earlier work by the authors (2003), this paper shows how to re.ne methods of robust inference on the mean in a time series that rely on families of untruncated kernel estimates of the long-run parameters. The new methods improve the size properties of...

Persistent link: https://www.econbiz.de/10005464005

Exact geometry of explosive autoregressive models

GARDEREN, Kees Jan van - Center for Operations Research and Econometrics (CORE), … - 1997

This paper derives exact expressions for statistical curvature and related geometric quantities in the first order autoregressive models with stable and unit roots, as well as explosive roots larger than unity. We develop a method for deriving exact moments of arbitrary order in general...

Persistent link: https://www.econbiz.de/10005043632

Exact Geometry of Autoregressive Models

GARDEREN , Kees Jan van - Center for Operations Research and Econometrics (CORE), … - 1996

This paper derives exact expressions for the statistical curvature and related geometric quantities in the first order autoregressive models. We present a method that combines the algebra of differential and difference operators to simplify the problem, and to obtain results valid for all sample...

Persistent link: https://www.econbiz.de/10005065399