Search Results - subject:"parametric bootstrap"

Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging

Jumah, Adusei; Kunst, Robert M. - Department of Economics and Finance Research and … - 2008

Motivated by economic-theory concepts—the Fisher hypothesis and the theory of the term structure—we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

Persistent link: https://www.econbiz.de/10005823250

Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing

CHO, JIN SEO; WHITE, HALBERT - Economic Research Institute, College of Business and … - 2014

as n ¨¡ 50. Our new tests often have better power than the parametric-bootstrap version of the traditional IMT; when they … finite-sample performance for a variety of models: linear regression, exponential duration, probit, and Tobit. The parametric … bootstrap suggested by Horowitz (1994) delivers critical values that provide admirable level behavior, even in samples as small …

Persistent link: https://www.econbiz.de/10011191546

Likelihood inference in some finite mixture models

Chen, Xiaohong; Ponomareva, Maria; Tamer, Elie - In: Journal of Econometrics 182 (2014) 1, pp. 87-99

and provides possible fixes based on the parametric bootstrap. We examine the performance of this parametric bootstrap in …

Persistent link: https://www.econbiz.de/10010785281

Semi-parametric Estimation Based on Second Order Parameter for Selecting Optimal Threshold of Extreme Rainfall Events

Shinyie, Wendy; Ismail, Noriszura; Jemain, Abdul - In: Water Resources Management 28 (2014) 11, pp. 3489-3514

estimators are used for the external estimation of the second order parameter. A semi-parametric bootstrap is used to estimate …

Persistent link: https://www.econbiz.de/10010949780

Testing equality of shape parameters in several inverse Gaussian populations

Niu, Cuizhen; Guo, Xu; Xu, Wangli; Zhu, Lixing - In: Metrika 77 (2014) 6, pp. 795-809

on parametric bootstrap approximation. Simulation studies are undertaken to examine the performances of the these methods …

Persistent link: https://www.econbiz.de/10010937791

Comparing exponential location parameters with several controls under heteroscedasticity

Malekzadeh, A.; Kharrati-Kopaei, M.; Sadooghi-Alvandi, S. - In: Computational Statistics 29 (2014) 5, pp. 1083-1094

control groups when the scale parameters may be unequal. Using the parametric bootstrap approach, we develop a new multiple …

Persistent link: https://www.econbiz.de/10010998467

A combined likelihood ratio/information ratio bootstrap technique for estimating the number of components in finite mixtures

Polymenis, Athanase - In: Computational Statistics & Data Analysis 71 (2014) C, pp. 107-115

Modified MIR is a Monte-Carlo algorithm used for bootstrapping minimum information ratios in order to assess the number of unknown components in finite mixtures. The method was proposed as a modification of the minimum information ratio (MIR) method, and was proved to outperform it. Further...

Persistent link: https://www.econbiz.de/10010719668

Likelihood inference in some finite mixture models

Chen, Xiaohong; Ponomareva, Maria; Tamer, Elie T. - In: Journal of econometrics 182 (2014) 1, pp. 87-99

Persistent link: https://www.econbiz.de/10010497117

Small area estimation: an empirical best linear unbiased prediction approach

Li, Huilin - 2007

proposed.In addition, a new parametric bootstrap prediction interval methodusing ADM estimator is proposed. The positiveness of …

Persistent link: https://www.econbiz.de/10009450971

Semi-parametric Estimation for Selecting Optimal Threshold of Extreme Rainfall Events

Shinyie, Wendy; Ismail, Noriszura; Jemain, Abdul - In: Water Resources Management 27 (2013) 7, pp. 2325-2352

semi-parametric bootstrap is then used to estimate the mean square error (MSE) of the estimator at each threshold and the …

Persistent link: https://www.econbiz.de/10010794847