Search Results - subject:"bootstrap method"

For which countries did PPP hold? : a multiple testing approach

Hanck, Christoph (contributor) - 2006

We use recent advances in multiple testing to identify the countries for which Purchasing Power Parity (PPP) held over the last century. The approach controls the multiplicity problem inherent in simultaneously testing for PPP on several time series, thereby avoiding spurious rejections. It has...

Persistent link: https://www.econbiz.de/10003394646

A threshold model of real US GDP and the problem of constructing confidence intervals in TAR models

Enders, Walter (contributor); Falk, Barry (contributor); … - 2006 - Rev. Mar 6/07

Persistent link: https://www.econbiz.de/10003735606

Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators

Anderson, Richard G. (contributor); … - 2006

is large, we use a bootstrap method to find the data-dependent and empirically correct finite-sample distributions for … that our canonical correlation based test has correct empirical size, we use bootstrap method to find the finite … velocities in U.S. and Canada, using bootstrap method, we unequivocally find three cointegration relationships; two for within …

Persistent link: https://www.econbiz.de/10003740180

Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series

Koopman, Siem Jan; Wong, Soon Yip - 2006

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

Persistent link: https://www.econbiz.de/10011350381

On the Failure of the Bootstrap for Matching Estimators

Abadie, Alberto - 2006

Matching estimators are widely used for the evaluation of programs or treatments. Often researchers use bootstrapping methods for inference. However, no formal justification for the use of the bootstrap has been provided. Here we show that the bootstrap is in general not valid, even in the...

Persistent link: https://www.econbiz.de/10012466349

A Note on Bootstraps and Robustness

Lancaster, Tony - 2006

In this note we consider several versions of the bootstrap and argue that it is helpful in explaining and thinking about such procedures to use an explicit representation of the random resampling process. To illustrate the point we give such explicit representations and use them to produce some...

Persistent link: https://www.econbiz.de/10012733820

Nonparametric Small Area Estimation Using Penalized Spline Regression

Opsomer, J. D. - 2006

We propose a new small area estimation approach that combines small area random effects with a smooth, nonparametrically specified trend. By using penalized splines as the representation for the nonparametric trend, it is possible to express the small area estimation problem as a mixed effect...

Persistent link: https://www.econbiz.de/10012734761

Analysis of Panel Vector Error Correction Models Using Maximum Likelihood, the Bootstrap, and Canonical-Correlation Estimators

Anderson, Richard G. - 2006

In this paper, we examine the use of Box-Tiao's (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen's (1995) ML-based method suffers from severe small...

Persistent link: https://www.econbiz.de/10012732978

The stacked leading indicators dynamic factor model : a sensitivity analysis of forecast accuracy using bootstrapping

Grenouilleau, Daniel - 2006

Persistent link: https://www.econbiz.de/10013446554

Bootstrap Methods in Econometrics

MacKinnon, James G. - 2006

There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as...

Persistent link: https://www.econbiz.de/10014056644