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On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests
Andrews, Donald W.K.; Buchinsky, Moshe - Cowles Foundation for Research in Economics, Yale University - 1997
This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors, confidence intervals, and tests. For each of these problems, the paper provides a three-step method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the...
Persistent link: https://www.econbiz.de/10004990816
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Simulation Estimation Methods for Limited Dependent Variable Models
Hajivassiliou, Vassilis A. - Cowles Foundation for Research in Economics, Yale University - 1991
This chapter discusses simulation estimation methods that overcome the computational intractability of classical … difficulties arise because of the need to evaluate accurately very high dimensional integrals. The methods based on simulation do … numerical analysis approximation methods. I then show how simulation techniques solve the computational problems without the …
Persistent link: https://www.econbiz.de/10005463851
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Jackknifing Bond Option Prices
Phillips, Peter C.B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2003
In continuous time specifications, the prices of interest rate derivative securities depend crucially on the mean reversion parameter of the associated interest rate diffusion equation. This parameter is well known to be subject to estimation bias when standard methods like maximum likelihood...
Persistent link: https://www.econbiz.de/10005463941
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Exactly Distribution-free Inference in Instrumental Variables Regression with Possibly Weak Instruments
Andrews, Donald W.K.; Marmer, Vadim - Cowles Foundation for Research in Economics, Yale University - 2005
This paper introduces a rank-based test for the instrumental variables regression model that dominates the Anderson-Rubin test in terms of finite sample size and asymptotic power in certain circumstances. The test has correct size for any distribution of the errors with weak or strong...
Persistent link: https://www.econbiz.de/10005463958
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Improved HAR Inference
Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2005
Employing power kernels suggested in earlier work by the authors (2003), this paper shows how to re.ne methods of robust inference on the mean in a time series that rely on families of untruncated kernel estimates of the long-run parameters. The new methods improve the size properties of...
Persistent link: https://www.econbiz.de/10005464005
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Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood
Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2008
simulation results show that our tests have reasonable size and power performance in finite samples. …
Persistent link: https://www.econbiz.de/10005464018
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Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes
Andrews, Donald W.K.; Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2002
This paper determines coverage probability errors of both delta method and parametric bootstrap confidence intervals (CIs) for the covariance parameters of stationary long-memory Gaussian time series. CIs for the long-memory parameter d_0 are included. The results establish that the bootstrap...
Persistent link: https://www.econbiz.de/10005464054
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Restricted Likelihood Ratio Tests in Predictive Regression
Phillips, Peter C.B.; Chen, Ye - Cowles Foundation for Research in Economics, Yale University
Chen and Deo (2009a) proposed procedures based on restricted maximum likelihood (REML) for estimation and inference in the context of predictive regression. Their method achieves bias reduction in both estimation and inference which assists in overcoming size distortion in predictive hypothesis...
Persistent link: https://www.econbiz.de/10011096426
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Threshold Regression with Endogeneity
Yu, Ping; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014
finite sample critical values for both tests. Simulation studies corroborate the theory and the asymptotics. An empirical …
Persistent link: https://www.econbiz.de/10011096433
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Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression
Li, Degui; Phillips, Peter C.B.; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013
We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform...
Persistent link: https://www.econbiz.de/10010817211