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function representations computed on each bootstrap sample, thereby reducing computational time considerably. This method is … improvement in the numerical speed of the fast bootstrap method. …
Persistent link: https://www.econbiz.de/10010753478
We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling … quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling … can be applied instead. To overcome these robustness problems, we introduce a consistent robust subsampling procedure for …
Persistent link: https://www.econbiz.de/10010574079
Central limit theorems are developed for instrumental variables estimates of linear and semiparametric partly linear regression models for spatial data. General forms of spatial dependence and heterogeneity in explanatory variables and unobservable disturbances are permitted. We discuss...
Persistent link: https://www.econbiz.de/10010574069
We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale parameter and the bandwidth parameter in the...
Persistent link: https://www.econbiz.de/10010785276
—both the subsampling method and a plug-in approach. Simulation studies compare the size and power of both approaches as applied … to hypothesis testing for the mean. Both methods perform well–although the subsampling method appears to be better sized …
Persistent link: https://www.econbiz.de/10011052262
We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes an autoregressive moving average structure for the scale matrix of the Wishart distribution. It accounts for positive definiteness of covariance...
Persistent link: https://www.econbiz.de/10010574098
principle components and other shrinkage techniques, including Bayesian model averaging and various bagging, boosting, least …
Persistent link: https://www.econbiz.de/10011052271
discontinuous and must be regularized to permit consistent estimation. The optimal regularization parameter depends on population … regularization parameter in series estimation. The method adapts to the unknown smoothness of g and other unknown functions. The …
Persistent link: https://www.econbiz.de/10010776910
We investigate the behavior of various standard and modified F, likelihood ratio (LR), and Lagrange multiplier (LM) tests in linear homoskedastic regressions, adapting an alternative asymptotic framework in which the number of regressors and possibly restrictions grows proportionately to the...
Persistent link: https://www.econbiz.de/10011052224
In this paper we introduce a linear programming estimator (LPE) for the slope parameter in a constrained linear regression model with a single regressor. The LPE is interesting because it can be superconsistent in the presence of an endogenous regressor and, hence, preferable to the ordinary...
Persistent link: https://www.econbiz.de/10010574100