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On the ambiguous consequences of omitting variables

De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2015

This paper studies what happens when we move from a short regression to a long regression (or vice versa), when the long regression is shorter than the data-generation process. In the special case where the long regression equals the data-generation process, the least-squares estimators have...

Persistent link: https://www.econbiz.de/10010532602

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10011301159

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019

This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of regression equations when disturbances are both serially and contemporaneously correlated 1967) estimator. It then demonstrates that the bootstrap outperforms Parks's top...

Persistent link: https://www.econbiz.de/10012018487

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2020

This paper shows how to bootstrap hypothesis tests in the context of the Parks’s (1967) Feasible Generalized Least Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)’s top competitor. The FGLS(Parks) estimator has been a workhorse for the analysis of panel...

Persistent link: https://www.econbiz.de/10012160012

A new INAR(1) model for Z-valued time series using the relative binomial thinning operator

Kachour, Maher; Bakouch, Hassan S.; Mohammadi, Zohreh - In: Jahrbücher für Nationalökonomie und Statistik 243 (2023) 2, pp. 125-152

conditional maximum likelihood methods are considered for the parameter estimation of the model. Moreover, simulation experiments …

Persistent link: https://www.econbiz.de/10014514104

On the Finite Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series

Berkowitz, Jeremy; Birgean, Ionel; Kilian, Lutz - 1999

In recent years, there has been increasing interest in nonparametric bootstrap inference for economic time series. Nonparametric resampling techniques help protect against overly optimistic inference in time series models of unknown structure. They are particularly useful for evaluating the fit...

Persistent link: https://www.econbiz.de/10014198030

Testing Distributional Assumptions : A L-Moment Approach

Chu, Ba M.; Salmon, Mark - 2008

Stein (1972, 1986) provides a flexible method for measuring the deviation of any probability distribution from a given distribution, thus effectively giving the upper bound of the approximation error which can be represented as the expectation of a Stein's operator. Hosking (1990, 1992) proposes...

Persistent link: https://www.econbiz.de/10014215045

Unit Root Tests in Three-Regime Setar Models

Kapetanios, George; Shin, Yongcheol - 2005

This paper proposes a simple direct testing procedure to distinguish a linear unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. We derive the asymptotic null distribution of the Wald statistic, and show that it does not depend on unknown...

Persistent link: https://www.econbiz.de/10014099170

Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems

Malhotra, Yogesh - 2015

Markov chain Monte Carlo (MCMC) methods have an important role in solving high dimensionality stochastic problems characterized by computational complexity. Given their critical importance, there is need for network and security risk management research to relate the MCMC quantitative...

Persistent link: https://www.econbiz.de/10013029835

BLP Estimation Using Laplace Transformation and Overlapping Simulation Draws

Hong, Han - 2019

takes into account simulation noise under the assumption of overlapping simulation draws. We show that as long as the number … of simulation draws $R$ and the number of markets $T$ approach infinity, our estimator is $\sqrt …

Persistent link: https://www.econbiz.de/10012904247