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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
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/10005649177
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
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
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
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
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
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
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
estimates. Conditional on the sample at hand, the bootstrap offers a possibility to perform formal statistical hypotheses …
Persistent link: https://www.econbiz.de/10005649277