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In an attempt to free bootstrap theory from the shackles of asymptotic considerations, this paper studies the possibility of justifying, or validating, the bootstrap, not by letting the sample size tend to infinity, but by considering the sequence of bootstrap P values obtained by iterating the...
Persistent link: https://www.econbiz.de/10011295590
Persistent link: https://www.econbiz.de/10011918710
In an attempt to free bootstrap theory from the shackles of asymptotic considerations, this paper studies the possibility of justifying, or validating, the bootstrap, not by letting the sample size tend to infinity, but by considering the sequence of bootstrap P values obtained by iterating the...
Persistent link: https://www.econbiz.de/10011445744
A random sample drawn from a population would appear to offer an ideal opportunity to use the bootstrap in order to perform accurate inference, since the observations of the sample are IID. In this paper, Monte Carlo results suggest that bootstrapping a commonly used index of inequality leads to...
Persistent link: https://www.econbiz.de/10005696825
Two procedures are proposed for estimating the rejection probabilities of bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive (per replication) as estimating rejection probabilities for...
Persistent link: https://www.econbiz.de/10008793559
The bootstrap is a statistical technique used more and more widely in econometrics. While it is capable of yielding very reliable inference, some precautions should be taken in order to ensure this. Two “Golden Rules” are formulated that, if observed, help to obtain the best the bootstrap...
Persistent link: https://www.econbiz.de/10008794309
The bootstrap is a statistical technique used more and more widely in econometrics. While it is capable of yielding very reliable inference, some precautions should be taken in order to ensure this. Two “Golden Rules” are formulated that, if observed, help to obtain the best the bootstrap...
Persistent link: https://www.econbiz.de/10005569960
Persistent link: https://www.econbiz.de/10010363895
In many, if not most, econometric applications, it is impossible to estimate consistently the elements of the white-noise process or processes that underlie the DGP. A common example is a regression model with heteroskedastic and/or autocorrelated disturbances,where the heteroskedasticity and...
Persistent link: https://www.econbiz.de/10011774249
Empirical evidence from time series methods which assume the usual I(0)/I(1) paradigm suggests that the efficient market hypothesis, stating that spot and futures prices of a commodity should co-integrate with a unit slope on futures prices, does not hold. However, these statistical methods are...
Persistent link: https://www.econbiz.de/10011147854