Search Results - subject:"limiting distribution"

Bacho, François; Genton, Mark G.; Nordhausen, Klaus; … - 2019

Persistent link: https://www.econbiz.de/10012181390

Consistency of trend break point estimator with underspecified break number

Yang, Jingjing - In: Econometrics 5 (2017) 1, pp. 1-19

both negative. The limiting distribution for the trend break point estimator is developed and closely approximates the …

Persistent link: https://www.econbiz.de/10011755359

Consistency of trend break point estimator with underspecified break number

Yang, Jingjing - In: Econometrics : open access journal 5 (2017) 1, pp. 1-19

both negative. The limiting distribution for the trend break point estimator is developed and closely approximates the …

Persistent link: https://www.econbiz.de/10011653832

Joint Confidence Sets for Structural Impulse Responses

Inoue, Atsushi; Kilian, Lutz - 2016

Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions. Other questions relate to the shape of a given impulse response function. Answering these questions requires joint inference about sets of structural impulse responses,...

Persistent link: https://www.econbiz.de/10011431286

Joint confidence sets for structural impulse responses

Inoue, Atsushi; Kilian, Lutz - 2016

Persistent link: https://www.econbiz.de/10011421682

On the modeling of size distributions when technologies are complex

Growiec, Jakub - Narodowy Bank Polski - 2015

The study considers a stochastic R&D process where the invented production technologies consist of a large number n of complementary components. The degree of complementarity is captured by the elasticity of substitution of the CES aggregator function. Drawing from the Central Limit Theorem and...

Persistent link: https://www.econbiz.de/10011212537

Asymptotic Inferences for an AR(1) Model with a Change Point: Stationary and Nearly Non-stationary Cases

Pang, Tianxiao; Zhang, Danna; Chong, Terence Tai-Leung - Volkswirtschaftliche Fakultät, … - 2013

This paper examines the asymptotic inference for AR(1) models with a possible structural break in the AR parameter β near the unity at an unknown time k₀. Consider the model y_{t}=β₁y_{t-1}I{t≤k₀}+β₂y_{t-1}I{tk₀}+ε_{t}, t=1,2,⋯,T, where I{⋅} denotes the indicator function. We...

Persistent link: https://www.econbiz.de/10011111119

On the Exact Finite Sample Distribution of the L1 -FCvM Test Statistic

Hinloopen, Jeroen - 2011

underlying p-p plots emerge. Comparing the finitesample distribution with the (known) limiting distribution showsthat the latter … can always be used for hypothesis testing: although forfinite samples the critical percentiles of the limiting … distribution differfrom the exact values, this will not lead to differences in the rejectionof the underlying hypothesis. …

Persistent link: https://www.econbiz.de/10010325887

On the Exact Finite Sample Distribution of the L1 -FCvM Test Statistic

Hinloopen, Jeroen - Tinbergen Instituut - 2011

distribution with the (known) limiting distribution showsthat the latter can always be used for hypothesis testing: although … forfinite samples the critical percentiles of the limiting distribution differfrom the exact values, this will not lead to …

Persistent link: https://www.econbiz.de/10011256710

On the exact finite sample distribution of the L1 -FCvM test statistic

Hinloopen, Jeroen - 2011

Persistent link: https://www.econbiz.de/10011386478