Similar Search Results

Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes

Poskitt, D. S. - Department of Econometrics and Business Statistics, … - 2006

In this paper we will investigate the consequences of applying the sieve bootstrap under regularity conditions that are … sufficiently general to encompass both fractionally integrated and non-invertible processes. The sieve bootstrap is obtained by … approximating the data generating process by an autoregression whose order h increases with the sample size T. The sieve bootstrap …

Persistent link: https://www.econbiz.de/10005149091

A Computational Implementation of GMM

Gao, Jiti; Hong, Han - Department of Econometrics and Business Statistics, … - 2014

In this paper we study a statistical method of implementing quasi-Bayes estimators for nonlinear and nonseparable GMM models, that is motivated by the ideas proposed in Chernozhukov and Hong (2003) and Creel and Kristensen (2011) and that combines simulation with nonparametric regression in the...

Persistent link: https://www.econbiz.de/10011093867

Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors

Zhang, Xibin; King, Maxwell L. - Department of Econometrics and Business Statistics, … - 2004

This paper presents a Markov chain Monte Carlo (MCMC) algorithm to estimate parameters and latent stochastic processes in the asymmetric stochastic volatility (SV) model, in which the Box-Cox transformation of the squared volatility follows an autoregressive Gaussian distribution and the...

Persistent link: https://www.econbiz.de/10005149031

Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity

Ye, Azhong; Hyndman, Rob J; Li, Zinai - Department of Econometrics and Business Statistics, … - 2006

We present a local linear estimator with variable bandwidth for multivariate nonparametric regression. We prove its consistency and asymptotic normality in the interior of the observed data and obtain its rates of convergence. This result is used to obtain practical direct plug-in bandwidth...

Persistent link: https://www.econbiz.de/10005149087

Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

Poskitt, D.S.; Grose, Simone D.; Martin, Gael M. - Department of Econometrics and Business Statistics, … - 2013

This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated … produce the bootstrap draws are captured by an autoregressive approximation. Application of the sieve method to data pre … experimental settings. In the case of the sample mean, the pre-filtered version of the bootstrap is shown to avoid the distinct …

Persistent link: https://www.econbiz.de/10010860410

Bias Correction of Persistence Measures in Fractionally Integrated Models

Grose, Simone D.; Martin, Gael M.; Poskitt, Donald S. - Department of Econometrics and Business Statistics, … - 2013

This paper investigates the accuracy of bootstrap-based bias correction of persistence measures for long memory … fractionally integrated processes. The bootstrap method is based on the semi-parametric sieve approach, with the dynamics in the … bootstrap technique are used to estimate the finite sample distributions of the sample autocorrelation coefficients and the …

Persistent link: https://www.econbiz.de/10010860421

Bias Correction of Persistence Measures in Fractionally Integrated Models

Grose, Simone D.; Martin, Gael M.; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2014

Persistent link: https://www.econbiz.de/10010958957

Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves

Hall, Peter G.; Hyndman, Rob J.; Fan, Yanan - Department of Econometrics and Business Statistics, … - 2003

asymptotic approximation, rather than a more sophisticated approach using the bootstrap, since the latter requires a multiplicity …

Persistent link: https://www.econbiz.de/10005427623

Small Concentration Asymptotics and Instrumental Variables Inference

Poskitt, D. S.; Skeels, C. L. - Department of Econometrics and Business Statistics, … - 2005

Poskitt and Skeels (2003) provide a new approximation to the sampling distribution of the IV estimator in a simultaneous equations model, the approximation is appropriate when the concentration parameter associated with the reduced form model is small. A basic purpose of this paper is to provide...

Persistent link: https://www.econbiz.de/10005427639

A Model Validation Procedure

Polak, Julia; King, Maxwell L.; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2014

Statistical models can play a crucial role in decision making. Traditional model validation tests typically make restrictive parametric assumptions about the model under the null and the alternative hypotheses. The majority of these tests examine one type of change at a time. This paper presents...

Persistent link: https://www.econbiz.de/10011141012