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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

Conditional Independence Restrictions: Testing and Estimation

Linton, Oliver; Gozalo, Pedro - Cowles Foundation for Research in Economics, Yale University - 1996

We propose a nonparametric empirical distribution function based test of an hypothesis of conditional independence between variables of interest. This hypothesis is of interest both for model specification purposes, parametric and semiparametric, and for non-model based testing of economic...

Persistent link: https://www.econbiz.de/10005464056

Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market

Hall, George; Rust, John - Cowles Foundation for Research in Economics, Yale University - 2002

This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process {p_t} that is observed only at a subset of times {t_1,...,t_n} that depend on the outcome...

Persistent link: https://www.econbiz.de/10005093945

Tests of Independence in Separable Econometric Models: Theory and Application

Brown, Donald J.; Deb, Rahul; Wegkamp, Marten H. - Cowles Foundation for Research in Economics, Yale University - 2003

A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical...

Persistent link: https://www.econbiz.de/10005087362

Consistent Testing for Stochastic Dominance: A Subsampling Approach

Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2002

We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We show that the resulting test is consistent. We allow for...

Persistent link: https://www.econbiz.de/10005593569

Testing Additivity in Generalized Nonparametric Regression Models

Linton, Oliver; Gozalo, Pedro - Cowles Foundation for Research in Economics, Yale University - 1995

We propose a nonparametric test of conditional independence based on the empirical distribution function. The asymptotic null distribution is a mixture of chi-squares. A bootstrap procedure is proposed for calculating the critical values. Our test has power against alternatives at distance...

Persistent link: https://www.econbiz.de/10005762468

Efficient Estimation of Copula-based Semiparametric Markov Models

Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - Cowles Foundation for Research in Economics, Yale University - 2009

(2006), the correctly specified parametric MLE and the incorrectly specified parametric MLE. The simulation results indicate …

Persistent link: https://www.econbiz.de/10005762792

Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review

Chen, Xiaohong - Cowles Foundation for Research in Economics, Yale University - 2011

In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...

Persistent link: https://www.econbiz.de/10009024410

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

Information Loss in Volatility Measurement with Flat Price Trading

Phillips, Peter C.B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2007

A model of price determination is proposed that incorporates flat trading features into an efficient price process. The model involves the superposition of a Brownian semimartingale process for the efficient price and a Bernoulli process that determines the extent of flat price trading. A limit...

Persistent link: https://www.econbiz.de/10005463915