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Puzzling Integratedness of Interest Rates: A Case for Nonparametric Threshold Cointegration?

Cron, Axel; Weidmann, Jens - University of Bonn, Germany - 1996

It is commonly found in empirical studies that nominal interest rates contain a unit root, implying that these variables have a permanent memory. One of the characteristics of a nonstationary time series is that it has no tendency to return to its mean values, meaning that the series is trending...

Persistent link: https://www.econbiz.de/10004968217

Predictability of Equity Models

Valls Pereira, Pedro L.; Chicaroli, Rodrigo - Volkswirtschaftliche Fakultät, … - 2009

(2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find …

Persistent link: https://www.econbiz.de/10004980415

Test of misspecification with application to negative binomial distribution

Chua, K.; Ong, S. - In: Computational Statistics 28 (2013) 3, pp. 993-1009

A misspecification test based directly on Bartlett’s First Identity is examined. This test is exemplified by the negative binomial distribution. A Monte Carlo simulation study has been conducted, in the context of testing distributional misspecification, and the performance of the proposed...

Persistent link: https://www.econbiz.de/10010847923

A test for bivariate normality with applications in microeconometric models

Lucchetti, Riccardo; Pigini, Claudia - In: Statistical Methods and Applications 22 (2013) 4, pp. 535-572

matrix test for censored models with bootstrap critical values. In order to evaluate its properties, we run a comprehensive … that, while asymptotic critical values can be seriously misleading, the use of bootstrap critical values results in a test …

Persistent link: https://www.econbiz.de/10010848091

Methods for variance estimation under random hot deck imputation in business surveys

Righi, Paolo; Falorsi, Stefano; Fasulo, Andrea - In: Rivista di statistica ufficiale 16 (2014) 1-2, pp. 45-64

the paper three variance methods under imputatation are taken into account. Two of them are the well known bootstrap and …

Persistent link: https://www.econbiz.de/10011071733

Bootstrap Based Bias Correction for Homogeneous Dynamic²² Panels

EVERAERT, G.; POZZI, L. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2004

moderate T. We present a bias correction for this estimator based on an iterative bootstrap procedure. Monte Carlo simulations … show that this procedure is a good alternative for the analytical correction by Kiviet (1995, JE). The bootstrap (i …

Persistent link: https://www.econbiz.de/10004982998

Testing for linearity in Markov switching models: a bootstrap approach

Sanzo, Silvestro Di - In: Statistical Methods and Applications 18 (2009) 2, pp. 153-168

Persistent link: https://www.econbiz.de/10004995412

Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk

Lin, Shih-Kuei; Wang, Ren-Her; Fuh, Cheng-Der - In: Asia-Pacific Financial Markets 13 (2006) 3, pp. 261-295

Persistent link: https://www.econbiz.de/10005684903

On the bootstrap quantile-treatment-effect test

Tang, Man-Lai; Tian, Maozai; Chan, Ping-Shing - In: Journal of Applied Statistics 35 (2008) 3, pp. 335-350

the no quantile treatment effect hypothesis H0: F=G. We develop a bootstrap quantile-treatment-effect test procedure for …

Persistent link: https://www.econbiz.de/10005639725

Goodness-Of-Fit Tests Based on Estimated Expectations of Probability Integral Transformed Order Statistics

Swanepoel, Jan; Graan, Francois Van - In: Annals of the Institute of Statistical Mathematics 54 (2002) 3, pp. 531-542

Persistent link: https://www.econbiz.de/10005169245