Search Results - subject:"Subsampling"

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

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2011

This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of 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/10009209704

Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models

Ng, Jason; Forbes, Catherine S.; Martin, Gael M.; … - Department of Econometrics and Business Statistics, … - 2011

The object of this paper is to produce non-parametric maximum likelihood estimates of forecast distributions in a general non-Gaussian, non-linear state space setting. The transition densities that define the evolution of the dynamic state process are represented in parametric form, but the...

Persistent link: https://www.econbiz.de/10009291983

Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series

McElroy, Tucker S; Politis, D N - Department of Economics, University of California-San … - 2011

{ both the subsampling method and a plug-in approach. Extensive simulation studies compare the size and power of both … approaches as applied to hypothesis testing for the mean. Both methods perform well { although the subsampling method appears to …

Persistent link: https://www.econbiz.de/10010676435

Persistence in world energy consumption : evidence from subsampling confidence intervals

Fallahi, Firouz; Karimi, Mohammad; Voia, Marcel-Christian - In: Energy economics 57 (2016), pp. 175-183

Persistent link: https://www.econbiz.de/10011698314

Statistical analysis of business cycle fluctuations in Poland before and after the crisis

Lenart, Łukasz; Mazur, Błażej; Pipień, Mateusz - In: Equilibrium : quarterly journal of economics and … 11 (2016) 4, pp. 769-783

Persistent link: https://www.econbiz.de/10011608745

Estimating alternative technology sets in nonparametric efficiency analysis: restriction tests for panel and clustered data

Neumann, Anne; Nieswand, Maria; Schubert, Torben - In: Journal of productivity analysis 45 (2016) 1, pp. 35-51

Persistent link: https://www.econbiz.de/10011631382

Discrete allocation in survey sampling and analytic algorithms for integer programming

Friedrich, Ulf - 2016

Persistent link: https://www.econbiz.de/10011532684

Bootstrap inference for K-nearest neighbour matching estimators

de Luna, Xavier; Johansson, Per; Sjöstedt-de Luna, Sara - 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/10010273923

Maintaining Analytic Utility while Protecting Confidentiality of Survey and Nonsurvey Data

Singh, Avinash C. - 2010

treatment by perturbation (i.e., substitution of IVs and not SVs) and suppression (i.e., subsampling-out of records). In this … records. Survey sampling techniques of sample allocation are used to assign substitution and subsampling rates to risk strata … defined by unique and nonunique records such that bias due to substitution and variance due to subsampling for main study …

Persistent link: https://www.econbiz.de/10009441177

Bootstrap inference for K-nearest neighbour matching estimators

de Luna, Xavier; Johansson, Per; Sjöstedt-de Luna, Sara - 2010

Persistent link: https://www.econbiz.de/10010278782