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On robustness of model-based bootstrap schemes in nonparametric time series analysis

Neumann, Michael H. - 1997

asymptotically for the bootstrap to be valid. However, certain model-based bootstrap methods remain valid for some interesting … bootstrap schemes remain valid for supremum-type functionals as long as they mimic the corresponding finite-dimensional joint … distributions consistently. As an example, we investigate a finite order Markov chain bootstrap in the context of a general …

Persistent link: https://www.econbiz.de/10010310822

Some problems in the testing of DSGE models

Minford, Patrick; Wickens, Michael - 2009

We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments and other features with data equivalents. We note that they select, scale and characterise the shocks without reference to the data; crucially they fail to use the joint distribution of the...

Persistent link: https://www.econbiz.de/10010288773

Optimal uniform convergence rates for sieve nonparametric instrumental variables regression

Chen, Xiaohong; Christensen, Timothy - 2013

We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...

Persistent link: https://www.econbiz.de/10010368240

Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions

Chen, Xiaohong; Christensen, Timothy M. - 2014

We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e. sup-norm) convergence rate (n= log n)..p=(2p+d) of Stone (1982), where d is the number of regressors and p is the smoothness of the regression function. The optimal rate...

Persistent link: https://www.econbiz.de/10011445708

On the Limit Theory of Mixed to Unity VARs: Panel Setting With Weakly Dependent Errors

Stauskas, Ovidijus - 2019

asymptotic theory of the local to unity and mildly explosive processes, they construct a Wald test for the commonality of the …, as is in practice, the test statistic may be divergent even under the null. We solve this problem by converting the … Wald test statistic converges to nuisance parameter-free Chi-squared distribution under the null hypothesis. …

Persistent link: https://www.econbiz.de/10013208843

Central limit theorems for law-invariant coherent risk measures

Belomestny, Denis; Krätschmer, Volker - 2010

In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under consideration, we first prove a central limit theorem for independent...

Persistent link: https://www.econbiz.de/10010281501

Sieve inference on semi-nonparametric time series models

Chen, Xiaohong; Liao, Zhipeng; Sun, Yixiao - 2012

indicate that our scaled pre-asymptotic Wald test with F critical values has more accurate size in finite samples than the … usual Wald test with chi-square critical values. …

Persistent link: https://www.econbiz.de/10010288325

Asymptotic theory for nonparametric regression with spatial data

Robinson, Peter M. - 2011

Nonparametric regression with spatial, or spatio-temporal, data is considered. The conditional mean of a dependent variable, given explanatory ones, is a nonparametric function, while the conditional covariance reflects spatial correlation. Conditional heteroscedasticity is also allowed, as well...

Persistent link: https://www.econbiz.de/10010288370

Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces

Kühnert, Sebastian - In: Journal of Time Series Analysis 46 (2024) 3, pp. 582-595

Estimating parameters of functional ARMA, GARCH and invertible processes requires estimating lagged covariance and cross‐covariance operators of Cartesian product Hilbert space‐valued processes. Asymptotic results have been derived in recent years, either less generally or under a strict...

Persistent link: https://www.econbiz.de/10015411061

Avaliação da evolução da eficiência e da produtividade em transplantes de órgãos no Brasil

Marinho, Alexandre - 2025

(DEA) and the Malmquist Index in conjunction with the Bootstrap technique, using organ transplantation data from 2013-2021. …

Persistent link: https://www.econbiz.de/10015210009