This paper uses a sequentialized experimental design to select simulation input combinations for global optimization, based on Kriging (also called Gaussian process or spatial correlation modeling); this Kriging is used to analyze the input/output data of the simulation model (computer code)....

<script type="text/javascript" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.1/MathJax.js?config=AM_HTMLorMML-full"></script>We propose a generalization of the wild bootstrap of Wu (1986) and Liu (1988) based upon perturbing the scores of M-estimators. This "score bootstrap" procedure avoids recomputing the estimator in each bootstrap iteration, making it substantially less costly to compute than the conventional...

The traditional linear Granger causality test has been widely used to examine the linear causality among several time series in bivariate settings as well as multivariate settings. Hiemstra and Jones (1994) develop a nonlinear Granger causality test in a bivariate setting to investigate the...

Employing the "small bandwidth" asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of a variety of bootstrap-based inference procedures associated with the kernel-based density-weighted averaged derivative estimator proposed by Powell, Stock, and...

This paper examines the well know day of the week effect on stock returns. Various approaches have been developed and applied in order to examine calendar effects in stock returns and to formulate appropriate financial and risk portfolios. We propose an alternative approach in the estimation of...

Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank f Johansen (1996) can be unreliable in small samples with...

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...