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Diagnostic Checking in a Flexible Nonlinear Time Series Model

Medeiros, Marcelo; Veiga, Alvaro - Economics Institute for Research (SIR), … - 2000

This paper considers a sequence of misspecification tests for a flexible nonlinear time series model. The model is a generalization of both the Smooth Transition AutoRegressive (STAR) and the AutoRegressive Artificial Artificial Neural Network (AR-ANN) models. The tests are Lagrange multiplier...

Persistent link: https://www.econbiz.de/10005649305

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

linearity hypothesis against a specific nonlinear alternative. Nonlinearity is defined through the smooth transition … 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

Bootstrapping the Malmquist Productivity Index: A Simulation Study

Löthgren, Mickael - Economics Institute for Research (SIR), … - 1997

This paper presents a Monte Carlo simulation study of the bootstrap algorithm proposed by Löthgren and Tambour (1997 …) for calculation of bootstrap confidence intervals for the firm-specific Data Envelopment Analysis (DEA) Malmquist … productivity index. The simulation results indicate that the coverage accuracy of bootstrap confidence intervals are near the …

Persistent link: https://www.econbiz.de/10005649328