Search Results - subject:"Subsampling."

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

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

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

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

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

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