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Persistent link: https://www.econbiz.de/10013475286
different methods of estimations are used. The first method is the SIMEX algorithm which attempts to estimate the bias, and …
Persistent link: https://www.econbiz.de/10010310815
In this paper we consider the polynomial regression model in the presence of multiplicative measurement error in the predictor. Consistent parameter estimates and their associated standard errors are derived. Two general methods are considered, with the methods differing in their assumptions...
Persistent link: https://www.econbiz.de/10010310829
In this paper we consider the polynomial regression model in the presence of multiplicative measurement error in the predictor. Consistent parameter estimates and their associated standard errors are derived. Two general methods are considered, with the methods differing in their assumptions...
Persistent link: https://www.econbiz.de/10010956460
different methods of estimations are used. The first method is the SIMEX algorithm which attempts to estimate the bias, and …
Persistent link: https://www.econbiz.de/10010956490
The bootstrap is shown to be inconsistent in spurious regression. The failure of the bootstrap is spectacular in that … the bootstrap effectively turns a spurious regression into a cointegrating regression. In particular, the serial … correlation coefficient of the residuals in the bootstrap regression does not converge to unity, so the bootstrap is not even …
Persistent link: https://www.econbiz.de/10005593430
a linear regression model are not normally distributed. The ability of a simple bootstrap procedure to give a useful …
Persistent link: https://www.econbiz.de/10005607117
A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis … (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are …
Persistent link: https://www.econbiz.de/10005762605
Persistent link: https://www.econbiz.de/10013441715