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Confidence intervals for impulse responses under departures from normality

Kilian, Lutz - In: Econometric reviews 17 (1998) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10001237560

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924

Persistent link: https://www.econbiz.de/10010204244

Testing DSGE models by indirect inference and other methods : some Monte Carlo experiments

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - 2012

Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions of the Smets-Wouters New Keynesian model of the US postwar period. We compare these with tests based on direct inference (using the Likelihood Ratio), and on the Del...

Persistent link: https://www.econbiz.de/10009563550

Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model

Liu, Shew Fan; Yang, Zhenlin - In: Econometrics : open access journal 3 (2015) 2, pp. 376-411

In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....

Persistent link: https://www.econbiz.de/10011297624

A class of indirect inference estimators : higher-order asymptotics and approximate bias correction

Arvanitis, Stelios; Dēmos, Antōnēs A. - In: The econometrics journal 18 (2015) 2, pp. 200-241

Persistent link: https://www.econbiz.de/10011378482

Better risk and performance estimates with factor-model Monte Carlo

Jiang, Yindeng; Martin, Doug - In: Journal of risk 17 (2014/2015) 5, pp. 29-67

Persistent link: https://www.econbiz.de/10011438893

Improved inferences for spatial regression models

Liu, Shew Fan; Yang, Zhenlin - In: Regional science & urban economics 55 (2015), pp. 55-67

Persistent link: https://www.econbiz.de/10011479842

Finite sample performance of principal components estimators for dynamic factor models : asymptotic vs. bootstrap approximations

Shintani, Mototsugu; Guo, Zi-Yi - 2011 - This version: January 2011

the bias is larger for a more persistent factor. In such a case, bootstrap procedures are effective in reducing the bias … and bootstrap confidence intervals outperform naive asymptotic confidence intervals in terms of controlling the coverage …

Persistent link: https://www.econbiz.de/10011723905

Bootstrap co-integration rank testing : the effect of bias-correcting parameter estimates

Cavaliere, Giuseppe; Taylor, Robert; Trenkler, Carsten - 2013

In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in … some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we … the corresponding parameter esti- mates taken across a large number of auxiliary bootstrap replications. A number of …

Persistent link: https://www.econbiz.de/10011490238

Improving the finite sample performance of autoregression estimators in dynamic factor models : a bootstrap approach

Shintani, Mototsugu; Guo, Zi-yi - 2015

Persistent link: https://www.econbiz.de/10011448651