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Solution of macromodels with Hansen-Sargent robust policies: Summary and some extensions

Giordani, Paolo; Söderlind, Paul - 2002

We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the...

Persistent link: https://www.econbiz.de/10010281269

Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions

Giordani, Paolo; Söderlind, Paul - Economics Institute for Research (SIR), … - 2002

Persistent link: https://www.econbiz.de/10005649177

Is momentum due to data-snooping?

Ericsson, Johan; González, Andrés - 2003

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...

Persistent link: https://www.econbiz.de/10010281287

Testing the unit root hypothesis against the logistic smooth transition autoregressive model

Eklund, Bruno - 2003

autoregressive model. Due to occasional size distortion in small samples, a simple bootstrap method is proposed for estimating the p …

Persistent link: https://www.econbiz.de/10010281347

A nonlinear alternative to the unit root hypothesis

Eklund, Bruno - 2003

simulations show some size distortions, why a bootstrap method for estimating p-values to the tests are considered. Power …

Persistent link: https://www.econbiz.de/10010281382

Bootstrapping DEA-based Efficiency Measures and Malmquist Productivity Indices. A Study of Swedish Eye-Care Service Provision

Löthgren, Mickael; Tambour, Magnus - Economics Institute for Research (SIR), … - 1995

The purpose of this paper is to use the bootstrap resampling technique to calculate confidence intervals for efficiency … programming models using primal production data. The bootstrap procedure is applied on a sample of Swedish eye-care departments …

Persistent link: https://www.econbiz.de/10005423888

Testing for Independence in Multivariate Duration Models

Söderberg, Hans; Lyhagen, Johan - Economics Institute for Research (SIR), … - 1999

deviate from the anticipated asymptotic one. However, by applying bootstrap methods it seems that proper critical values can …

Persistent link: https://www.econbiz.de/10005649119

A nonlinear alternative to the unit root hypothesis

Eklund, Bruno - Economics Institute for Research (SIR), … - 2003

simulations show some size distortions, why a bootstrap method for estimating p-values to the tests are considered. Power …

Persistent link: https://www.econbiz.de/10005649224

Stochastic Dominance Amongst Swedish Income Distributions

Heshmati, Almas; Maasoumi, Esfandiar - Economics Institute for Research (SIR), … - 1998

classes of welfare functions. We conduct bootstrap tests for the existence of first and second order stochastic dominance …

Persistent link: https://www.econbiz.de/10005649264

Scale Efficiency and Scale Elasticity in DEA-models - A Bootstrapping Approach

Löthgren, Mickael; Tambour, Magnus - Economics Institute for Research (SIR), … - 1996

estimates. Conditional on the sample at hand, the bootstrap offers a possibility to perform formal statistical hypotheses …

Persistent link: https://www.econbiz.de/10005649277