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Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to … applications. This renders inference based on standard resampling methods useless already in simple estimation and testing settings …. To solve this problem, we introduce a robust fast resampling scheme that is applicable to a wide class of time series …

Persistent link: https://www.econbiz.de/10003971115

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

Gürtler, Marc; Rauh, Ronald - 2009 - This Version: 2009-09-09

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...

Persistent link: https://www.econbiz.de/10009487233

Adaptive testing for cointegration with nonstationary volatility

Boswijk, Herman Peter; Zu, Yang - 2019

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional cointegration tests,...

Persistent link: https://www.econbiz.de/10012026102

Non-parametric stochastic simulations to investigate uncertainty around the OECD indicator model forecasts

Rusticelli, Elena - 2012

The forecasting uncertainty around point macroeconomic forecasts is usually measured by the historical performance of the forecasting model, using measures such as root mean squared forecasting errors (RMSE). This measure, however, has the major drawback that it is constant over time and hence...

Persistent link: https://www.econbiz.de/10009690936

Robust subsampling

Camponovo, Lorenzo (contributor); … - 2006

We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even if they are applied to robust...

Persistent link: https://www.econbiz.de/10003394379

Testing for equality between two copulas

Remillard, Bruno (contributor); … - 2007

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Crameacute;r-von Mises test statistic. Finite sample properties...

Persistent link: https://www.econbiz.de/10003550857

Permutation tests on returns to scale and common production frontiers in nonparametric models

Rønn-Nielsen, Anders; Kronborg, Dorte; Asmild, Mette - 2022

Permutation techniques, where one recompute the test statistic over permutations of data, have a long history in statistics and have become increasingly useful as the availability of computational power has increased. Until now, no permutation tests for examining returns to scale assumptions,...

Persistent link: https://www.econbiz.de/10013338075

Overidentification test in a nonparametric treatment model with unobserved heterogeneity : conference paper

Dzemski, Andreas; Sarnetzki, Florian - 2014 - This version: February 15, 2014

We provide an overidentification test for a nonparametric treatment model where individuals are allowed to select into treatment based on unobserved gains. Our test can be used to test the validity of instruments in a framework with essential heterogeneity (Imbens and Angrist 1994). The...

Persistent link: https://www.econbiz.de/10010491120

Multiple testing and the distributional effects of accountability incentives in education

Lehrer, Steven F.; Pohl, R. Vincent; Song, Kyungchul - 2019

Economic theory that underlies many empirical microeconomic applications predicts that treatment responses depend on individuals’ characteristics and location on the outcome distribution. Using data from a large-scale Pakistani school report card experiment, we consider tests for treatment...

Persistent link: https://www.econbiz.de/10011994704

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