Showing 1 - 10 of 177
This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors … desired level of accuracy. Accuracy is measured by the percentage deviation of the bootstrap standard error estimate …, confidence interval endpoint(s), test's critical value, or test's p-value based on B bootstrap simulations from the corresponding …
Persistent link: https://www.econbiz.de/10004990816
We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap … the variables are allowed to be residuals from nonparametric and semiparametric models. The proposed bootstrap tests have … in general. The improvement stems from the design of the bootstrap test whose limiting behavior mimics the discontinuity …
Persistent link: https://www.econbiz.de/10005011842
and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We …
Persistent link: https://www.econbiz.de/10005593569
derive the null distributions, validity of a bootstrap procedure, and local and global power properties of our tests. The …
Persistent link: https://www.econbiz.de/10005464018
. The asymptotic null distribution of the test statistic is a functional of a Gaussian process. A bootstrap procedure is …
Persistent link: https://www.econbiz.de/10005464056
conventional parametric structural change tests to the nonparametric case. A wild bootstrap procedure is suggested to deliver …
Persistent link: https://www.econbiz.de/10011096433
This note uses a simple example to show how moment inequality models used in the empirical economics literature lead to general minimax relative efficiency comparisons. The main point is that such models involve inference on a low dimensional parameter, which leads naturally to a definition of...
Persistent link: https://www.econbiz.de/10011099829
We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e., sup-norm) convergence rate (n/log n)^{-p/(2p+d)} of Stone (1982), where d is the number of regressors and p is the smoothness of the regression function. The optimal...
Persistent link: https://www.econbiz.de/10011198597
We consider the problem of inference on a regression function at a point when the entire function satisfies a sign or shape restriction under the null. We propose a test that achieves the optimal minimax rate adaptively over a range of Holder classes, up to a log log n term, which we show to be...
Persistent link: https://www.econbiz.de/10011185380
This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for conditional moment inequality models in the set identified case. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting...
Persistent link: https://www.econbiz.de/10011240392