Similar Search Results

Estimation When a Parameter Is on a Boundary: Theory and Applications

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1997

This paper establishes the asymptotic distribution of extremum estimators when the true parameter lies on the boundary of the parameter space. The boundary may be linear, curved, and/or kinked. The asymptotic distribution is a function of a multivariate normal distribution in models without...

Persistent link: https://www.econbiz.de/10004990737

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2008

This paper considers a first-order autoregressive model with conditionally heteroskedastic innovations. The asymptotic distributions of least squares (LS), infeasible generalized least squares (GLS), and feasible GLS estimators and t statistics are determined. The GLS procedures allow for...

Persistent link: https://www.econbiz.de/10005093921

Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Zivot, Eric; Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1990

Recently Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. His analysis covers the Nelson-Plosser macroeconomic data series as...

Persistent link: https://www.econbiz.de/10005634743

Testing When a Parameter Is on the Boundary of the Maintained Hypothesis

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1999

This paper considers testing problems where several of the standard regularity conditions fail to hold. We consider the case where (i) parameter vectors in the null hypothesis may lie on the boundary of the maintained hypothesis and (ii) there may be a nuisance parameter that appears under the...

Persistent link: https://www.econbiz.de/10005762641

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2008

Persistent link: https://www.econbiz.de/10008528944

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2008

Persistent link: https://www.econbiz.de/10009645614

Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models

Chen, Xiaohong; Pouzo, Demian - Cowles Foundation for Research in Economics, Yale University - 2013

-optimally weighted SQLR statistic; (5) the consistency of the nonparametric bootstrap and the weighted bootstrap (possibly non …

Persistent link: https://www.econbiz.de/10010895693

Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter

Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004

the results is that the parametric bootstrap upper one-sided confidence interval provides an o(n^{-1}ln n) improvement …

Persistent link: https://www.econbiz.de/10004990695

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 … 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

Invalidity of the Bootstrap and the m Out of n Bootstrap for Interval Endpoints Defined by Moment Inequalities

Andrews, Donald W.K.; Han, Sukjin - Cowles Foundation for Research in Economics, Yale University - 2008

This paper analyzes the finite-sample and asymptotic properties of several bootstrap and m out of n bootstrap methods … the bootstrap nor the m out of n bootstrap is valid in finite samples or in a uniform asymptotic sense in general when … bootstrap, m out of n bootstrap, and subsampling do lead to uniformly asymptotically valid confidence sets in moment inequality …

Persistent link: https://www.econbiz.de/10005039556