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A Model Selection Test for Bivariate Failure-Time Data

Chen, Xiaohong; Fan, Yanqin - Vanderbilt University Department of Economics - 2004

In this paper, we address two important issues in survival model selection for censored data generated by the Archimedean copula family; method of estimating the parametric copulas and data reuse. We demonstrate that for model selection, estimators of the parametric copulas based on minimizing...

Persistent link: https://www.econbiz.de/10005178569

A Nonparametric Measure of Convergence Toward Purchasing Power Parity

Shintani, Mototsugu - Vanderbilt University Department of Economics - 2002

It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real exchange rates. However, inspired by trade cost models, nonlinear adjustment has been widely employed in recent empirical...

Persistent link: https://www.econbiz.de/10005459256

A Dynamic Factor Approach to Nonlinear Stability Analysis

Shintani, Mototsugu - Vanderbilt University Department of Economics - 2004

A method of principal components is employed to investigate nonlinear dynamic factor structure using a large panel data. The evidence suggests the possibility of nonlinearity in the U.S. while it excludes the class of nonlinearity that can generate endogenous fluctuation or chaos.

Persistent link: https://www.econbiz.de/10005595890

Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Shintani, Mototsugu; Linton, Oliver - Vanderbilt University Department of Economics - 2003

This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational definition of chaos. We introduce a statistical framework for testing the chaotic hypothesis based on the...

Persistent link: https://www.econbiz.de/10005595908

Consistent and Asymptotically Unbiased MinP Tests of Multiple Inequality Moment Restrictions

Bennett, Christopher J. - Vanderbilt University Department of Economics - 2009

alternative. We first introduce a test based on a maximum statistic and show how, via a partially recentered bootstrap scheme, we … the parameters on the boundary of the null hypothesis. We prove that this bootstrap test is asymptotically unbiased and … that it weakly dominates analogous testing procedures based on the canonical (fully centered) bootstrap. Building on these …

Persistent link: https://www.econbiz.de/10005013873

p-Value Adjustments for Asymptotic Control of the Generalized Familywise Error Rate

Bennett, Christopher J. - Vanderbilt University Department of Economics - 2009

This paper introduces a computationally efficient bootstrap procedure for obtaining multiplicity-adjusted p-values in …

Persistent link: https://www.econbiz.de/10005585311

Impulse response matching estimators for DSGE models

Guerron-quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - Vanderbilt University Department of Economics - 2014

its asymptotic distribution, and we show how this distribution can be approximated by bootstrap methods. Our methods of …

Persistent link: https://www.econbiz.de/10011246096

Impulse response matching estimators for DSGE models

Guerron-quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - Vanderbilt University Department of Economics - 2014

its asymptotic distribution, and we show how this distribution can be approximated by bootstrap methods. Our methods of …

Persistent link: https://www.econbiz.de/10011213816