Search Results - subject:"Subsampling"

Innovation and export activities in the German mechanical engineering sector: an application of testing restrictions in production analysis

Schubert, Torben; Simar, Léopold - In: Journal of Productivity Analysis 36 (2011) 1, pp. 55-69

Persistent link: https://www.econbiz.de/10009327477

Subsampling weakly dependent time series and application to extremes

Doukhan, Paul; Prohl, Silika; Robert, Christian - In: TEST: An Official Journal of the Spanish Society of … 20 (2011) 3, pp. 447-479

Persistent link: https://www.econbiz.de/10009400199

Consistent testing for stochastic dominance : a subsampling approach

Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - London School of Economics (LSE) - 2002

conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that …

Persistent link: https://www.econbiz.de/10010746327

Subsampling the mean of heavy-tailed dependent observations

Kokoszka, Piotr; Wolf, Michael - Department of Economics and Business, Universitat … - 2002

We establish the validity of subsampling confidence intervals for the mean of a dependent series with heavy …

Persistent link: https://www.econbiz.de/10005707980

Consistent Testing for Stochastic Dominance: A Subsampling Approach

Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - Suntory and Toyota International Centres for Economics … - 2002

conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that …

Persistent link: https://www.econbiz.de/10005670805

On optimal spatial subsample size for variance estimation

Nordman, Daniel J.; Lahiri, Soumendra N. - 2002

In this paper, we consider the problem of determining the optimal block size for a spatial subsampling method for … spatial processes observed on regular grids. We derive expansions for the mean square error of the subsampling variance …

Persistent link: https://www.econbiz.de/10009770911

Bootstrap inference for K-nearest neighbour matching estimators

de Luna, Xavier; Johansson, Per; Sjöstedt-de Luna, Sara - Institutet för Arbetsmarknads- och Utbildningspolitisk … - 2010

Abadie and Imbens (2008, Econometrica) showed that classical bootstrap schemes fail to provide correct inference for K-nearest neighbour (KNN) matching estimators of average causal effects. This is an interesting result showing that bootstrap should not be applied without theoretical...

Persistent link: https://www.econbiz.de/10008740731

Analysis of mutual funds' management styles: a modeling, ranking and visualizing approach

Conversano, Claudio; Vistocco, Domenico - In: Journal of Applied Statistics 37 (2010) 11, pp. 1825-1845

A method to rank mutual funds according to their investment style measured with respect to the returns of a reference portfolio (benchmark) is introduced. It is based on a style analysis model estimating a mutual fund portfolio composition as well as the benchmark one. Starting from such...

Persistent link: https://www.econbiz.de/10008674958

On inference based on the one-sample sign statistic for long-range dependent data

Psaradakis, Zacharias - In: Computational Statistics 25 (2010) 2, pp. 329-340

Persistent link: https://www.econbiz.de/10008515562

Subsampling inference in threshold autoregressive models

Gonzalo, Jesús; Wolf, Michael - Department of Economics and Business, Universitat … - 2001

valid inference can be drawn by the use of the subsampling method. Moreover, the method can even be extended to situations … model becomes difficult and subsampling can be used advantageously there as well. In addition, we consider an hypothesis …

Persistent link: https://www.econbiz.de/10005827465