The bootstrap is a method for estimating the distribution of an estimator or test statistic by resampling one's data or a model estimated from the data. The methods that are available for implementing the bootstrap and the accuracy of bootstrap estimates depend on whether the data are a random...

Modern econometrics requires implementation of highly specialized software. In contrast to mathematical arguments used in implementing new econometric techniques the corresponding software algorithms require specific platforms. The specialization of hardware and software, in fact, seriously...

We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the...

This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the estimator is asymptotically normally distributed with a rate of convergence in probability of n -2/5...

Models are studied where the response Y and covariates X, T are assumed to fulfill E(Y

For over a decade, nonparametric modelling has been successfully applied to study nonlinear structures in financial time series. It is well known that the usual nonparametric models often have less than satisfactory performance when dealing with more than one lag. When the mean has an additive...

East-West migration in Germany peaked at the beginning of the 90s although the average wage gap between Eastern and Western Germany continues to average about 25%. We analyze the propensity to migrate using microdata from the German Socioeconomic Panel. Fitting a parametric Generalized Linear...

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...

Statistics is considered to be a difficult science since it requires a variety of skills including handling of quantitative data, graphical insights as well as mathematical ability. Yet ever increasing special knowledge of statistics is demanded since data of increasing complexity and size need...