Search Results - subject:"Wild Bootstrap"

Nonparametric Analysis of Covariance : the Case of Inhomogeneous and Heteroscedastic Noise

Scholz, Achim; Neumeyer, Natalie; Munk, Axel - Institut für Wirtschafts- und Sozialstatistik, … - 2004

The purpose of this paper is to propose a procedure for testing the equality of several regression curves fi in nonparametric regression models when the noise is inhomogeneous. This extends work of Dette and Neumeyer (2001) and it is shown that the new test is asymptotically uniformly more...

Persistent link: https://www.econbiz.de/10009216882

Asymptotic and Bootstrap Inference for AR(<i>Infinite</i>) Processes with Conditional Heteroskedasticity

Gonçalves, Sílvia; Kilian, Lutz - Centre Interuniversitaire de Recherche en Analyse des … - 2003

The main contribution of this paper is twofold. First, we derive the consistency and asymptotic normality of the estimated autoregressive sieve parameters when the data are generated by a stationary linear process with martingale difference errors that are possibly subject to conditional...

Persistent link: https://www.econbiz.de/10005100842

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Gonçalves, Sílvia; KILIAN, Lutz - Centre Interuniversitaire de Recherche en Économie … - 2003

heteroskedasticity of unknown form. These proposals are the fixed-design wild bootstrap, the recursive-design wild bootstrap and the …

Persistent link: https://www.econbiz.de/10005729624

The impact of ECB and FED announcements on the Euro interest rates

Monticini, Andrea; Peel, David; Vaciago, Giacomo - In: Economics Letters 113 (2011) 2, pp. 139-142

We investigate the impact of news in the ECB and FED monetary policy announcements on daily changes in Euro interest rates. We document significant impacts of ECB announcements throughout the period but only until mid 2004 of FED announcements.

Persistent link: https://www.econbiz.de/10011041569

La paridad de poder de compra en México (1930-1960)

Castellanos, Cabrera; Fernando, Luis; Wallace, Frederick H. - In: El Trimestre Económico LXXVIII (3) (2011) 311, pp. 675-693

, heteroscedasticity are found in the test residuals. Using a wild bootstrap approach, critical values are calculated from the empirical … que los residuos de estas pruebas presentan no normalidad o heteroscedasticidad. Usando el enfoque de wild bootstrap …

Persistent link: https://www.econbiz.de/10009216097

Security price responses to unexpected earnings: a nonparametric investigation

Gao, Lei; Wang, Li - In: Statistical Methods and Applications 20 (2011) 2, pp. 241-258

Persistent link: https://www.econbiz.de/10009149444

Uncovered interest parity and the efficiency of the foreign exchange market : a re-examination of the evidence

Olmo, Jose; Pilbeam, Keith - In: International journal of finance & economics : IJFE 16 (2011) 2, pp. 189-204

Persistent link: https://www.econbiz.de/10009159745

Assessing the impact of heteroskedasticity for evaluating hedge fund performance

Marshall, Andrew P.; Tang, Leilei - In: International review of financial analysis 20 (2011) 1, pp. 12-19

Persistent link: https://www.econbiz.de/10009295930

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Kilian, Lutz; Gonçalves, Sílvia - 2002

heteroskedasticity of unknown form. These proposals are the fixed-design wild bootstrap, the recursive-design wild bootstrap and the … aufweisen. Es geht dabei um ein fixed-design wild bootstrap, den recursive-design wild bootstrap und den paarweisen bootstrap …

Persistent link: https://www.econbiz.de/10010295743

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

heteroskedasticity of unknown form. These proposals are the fixed-design wild bootstrap, the recursive design wild bootstrap and the …

Persistent link: https://www.econbiz.de/10011604242