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approximated by a bootstrap procedure. The asymptotic validity of bootstrap is shown and performance of the testing procedure is …
Persistent link: https://www.econbiz.de/10005063603
The aim of this paper is to give a formal definition and consistent estimates of the extremes of a population. This definition relies on a threshold value that delimits the extremes and on the uniform convergence of the distribution of these extremes to a Pareto type distribution. The tail...
Persistent link: https://www.econbiz.de/10005699657
. One can use the bootstrap distribution of the score test statistic to obtain a critical value. This can give already … value. Since the score test statistic is asymptotically pivotal, the bootstrap critical value is second-order correct … matrix used in the quadratic form. In this paper we propose a bootstrap-based method to obtain both a second-order correct …
Persistent link: https://www.econbiz.de/10005702655
) structural change test, where we calculate bootstrap critical values. While the size is correct, his sequential method lacks …
Persistent link: https://www.econbiz.de/10005702663
Bootstrap resampling schemes. First, an algorithm implementing jackknife is used to extract leverage for all data points, that …, Bootstrap resampling is implemented, taking into account leverage information. This approach proved to be robust to the presence …
Persistent link: https://www.econbiz.de/10005129766
have only weak explanatory power. We propose bootstrap aggregation of pre-test predictors (or bagging for short) as a means …
Persistent link: https://www.econbiz.de/10005342193
distribution shows that the bootstrap reduces the size distortion. We compute power curves for tests on the autocorrelation … results from applying the bootstrap …
Persistent link: https://www.econbiz.de/10005342218
-sectional units, which may be obtained through the standard bootstrap method. Consequently, we may conveniently use various …
Persistent link: https://www.econbiz.de/10005342316
samples are repeated until a criterion for stopping is satisfied. In this paper we propose bootstrap tests as criterion for …
Persistent link: https://www.econbiz.de/10005328868
This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate linear models perform about as well for almost every...
Persistent link: https://www.econbiz.de/10005328915