Search Results - subject:"Subsampling"

Invalidity of the Bootstrap and the m Out of n Bootstrap for Interval Endpoints Defined by Moment Inequalities

Andrews, Donald W.K.; Han, Sukjin - Cowles Foundation for Research in Economics, Yale University - 2008

bootstrap, m out of n bootstrap, and subsampling do lead to uniformly asymptotically valid confidence sets in moment inequality …

Persistent link: https://www.econbiz.de/10005039556

Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling

Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2008

This paper considers the problem of testing s null hypotheses simultaneously while controlling the false discovery rate (FDR). Benjamini and Hochberg (1995) provide a method for controlling the FDR based on p-values for each of the null hypotheses under the assumption that the p-values are...

Persistent link: https://www.econbiz.de/10005627803

Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary

Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Suntory and Toyota International Centres for Economics … - 2008

subsampling. Our test requires estimation ofthe contact sets between the marginal distributions. Our tests have asymptoticsizes … show thatour tests are indeed more powerful than the existing subsampling and recenteredbootstrap. … dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets …

Persistent link: https://www.econbiz.de/10008838727

Estimating spot volatility with high-frequency financial data

Zu, Yang; Peter Boswijk, H. - In: Journal of Econometrics 181 (2014) 2, pp. 117-135

We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale parameter and the bandwidth parameter in the...

Persistent link: https://www.econbiz.de/10010785276

On the choice of regularization parameters in specification testing: a critical discussion

Sperlich, Stefan - In: Empirical Economics 47 (2014) 2, pp. 427-450

This article reviews and discusses the problem of choosing smoothing parameters and resampling schemes for specification tests in econometrics. While smoothing is used for the regularization of the non-specified parts of the null hypothesis and omnibus alternatives, the resampling serves for...

Persistent link: https://www.econbiz.de/10010949532

A frequency-domain alternative to long-horizon regressions with application to return predictability

Sizova, Natalia - In: Journal of Empirical Finance 28 (2014) C, pp. 261-272

are constructed using model-free methods based on subsampling. …

Persistent link: https://www.econbiz.de/10010939524

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Andrews, Donald W. K.; Guggenberger, Patrik - In: The Review of Economics and Statistics 96 (2014) 2, pp. 376-381

This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of a general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...

Persistent link: https://www.econbiz.de/10011009896

A fast resample method for parametric and semiparametric models

Armstrong, Timothy B.; Bertanha, Marinho; Hong, Han - In: Journal of Econometrics 179 (2014) 2, pp. 128-133

We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each...

Persistent link: https://www.econbiz.de/10010753478

A fast resample method for parametric and semiparametric models

Armstrong, Timothy B.; Bertanha, Marinho; Hong, Han - In: Journal of econometrics 179 (2014) 2, pp. 128-133

Persistent link: https://www.econbiz.de/10010372656

Testing for statistical arbitrage in credit derivatives markets

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: Journal of empirical finance 26 (2014), pp. 59-75

Persistent link: https://www.econbiz.de/10010472006