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When analyzing the productivity of firms, one may want to compare how the firms transform a set of inputs x (typically labor, energy or capital) into an output y (typically a quantity of goods produced). The economic efficiency of a firm is then defined in terms of its ability of operating close...
Persistent link: https://www.econbiz.de/10010309839
One of the most difficult problems in applications of semiparametric generalized partially linear single-index model (GPLSIM) is the choice of pilot estimators and complexity parameters which may result in radically different estimators. Pilot estimators are often assumed to be root-n...
Persistent link: https://www.econbiz.de/10010310523
asymptotic distribution is derived and shown to be approximated by a bootstrap procedure. …
Persistent link: https://www.econbiz.de/10010309854
observations. Accordingly, we propose an i.i.d.-type bootstrap to determine the critical value for the test. …
Persistent link: https://www.econbiz.de/10010309888
We prove geometric ergodicity and absolute regularity of the nonparametric autoregressive bootstrap process. To this … sequence. This is achieved by using well-established coupling techniques. Then we apply the result to the bootstrap process and … bootstrap process has the desired properties. Moreover, by using some 'decoupling' argument, we show that the stationary density …
Persistent link: https://www.econbiz.de/10010309890
often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical …
Persistent link: https://www.econbiz.de/10010310003
One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However, one often finds better results when directly fitting an...
Persistent link: https://www.econbiz.de/10010310056
bootstrap versions of the tests have much better properties in this respect. In other words, the bootstrap can be used to size …
Persistent link: https://www.econbiz.de/10010310188
fixed link functions. In this paper we consider a bootstrap specification test that detects nonparametric deviations of the … link function. The bootstrap is used with the aim to find a more accurate distribution under the null than the normal … we show that the bootstrap is able to capture the negative bias and the skewness of the test statistic. It yields better …
Persistent link: https://www.econbiz.de/10010310223
conditional heteroskedasticity. We show that the wild bootstrap provides convenient critical values for the considered OLS …-based statistics under both homoskedastic and conditionally heteroskedastic model errors. The wild bootstrap is easy to implement and … approximations. We prove further that the wild bootstrap retains its validity for inference within a system of pooled equations …
Persistent link: https://www.econbiz.de/10010310267