Search Results - subject:"Subsampling"

Specification tests of parametric dynamic conditional quantiles

Escanciano, J. Carlos; Velasco, Carlos - HAL - 2010

of tests is not pivotal, we propose a subsampling approximation of the asymptotic critical values. A Monte Carlo study …

Persistent link: https://www.econbiz.de/10010774278

Specification tests of parametric dynamic conditional quantiles

Escanciano, J. Carlos; Velasco, Carlos - HAL - 2010

of tests is not pivotal, we propose a subsampling approximation of the asymptotic critical values. A Monte Carlo study …

Persistent link: https://www.econbiz.de/10010570522

Bootstrap Inference for K-Nearest Neighbour Matching Estimators

de Luna, Xavier; Johansson, Per; Sjöstedt-de Luna, Sara - Institute for the Study of Labor (IZA) - 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/10008765225

Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise

Nolte, Ingmar; Voev, Valeri - School of Economics and Management, University of Aarhus - 2009

Aarhus CREATES, CoFE This Version: April 27, 2009 JEL classification: G10,F31,C32 Keywords: High frequency data, Subsampling … subsampling estimator, very much in the spirit of the two-scales realized volatility (TSRV) of Zhang, Mykland & A¨ıt-Sahalia (2005 …

Persistent link: https://www.econbiz.de/10005000435

An Improved Bootstrap Test of Stochastic Dominance

Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2009

or subsampling. The method admits prospects involving infinite as well as finite dimensional unknown parameters, so that …

Persistent link: https://www.econbiz.de/10005011842

Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs

Mayordomo, Sergio; Peña, Juan Ignacio; Romo, Juan - Departamento de Economía de la Empresa, Universidad … - 2009

combining Credit Default Swaps and Asset Swaps Packages. We present a new statistical arbitrage test based on the subsampling …

Persistent link: https://www.econbiz.de/10008486969

Empirical properties of the credit and equity cycle within almost periodically correlated stochastic processes : the case of Poland, UK and USA

Lenart, Łukasz; Pipień, Mateusz - In: Central European journal of economic modelling and … 7 (2015) 3, pp. 169-186

Persistent link: https://www.econbiz.de/10011429897

Testing for predictability in conditionally heteroskedastic stock returns

Westerlund, Joakim; Narayan, Paresh Kumar - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 342-375

Persistent link: https://www.econbiz.de/10011339304

Convergence and persistence in per capita energy use among OECD countries : revisited using confidence intervals

Fallahi, Firouz; Voia, Marcel-Christian - In: Energy economics 52 (2015) 1, pp. 246-253

Persistent link: https://www.econbiz.de/10011568249

Bootstrap tests of stochastic dominance with asymptotic similarity in the boundary

Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - 2008

subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes … results show that our tests are indeed more powerful than the existing subsampling and recentered bootstrap. …

Persistent link: https://www.econbiz.de/10010318570