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Monotonicity-constrained nonparametric estimation and inference for first-price auctions

Ma, Jun; Marmer, Vadim; Shneyerov, Artyom; Pai Xu - In: Econometric reviews 40 (2021) 10, pp. 944-982

Persistent link: https://www.econbiz.de/10012624567

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of Econometrics 178 (2014) P1, pp. 167-179

test is a consistent test. We also establish the asymptotic validity of a bootstrap procedure which is used to better …

Persistent link: https://www.econbiz.de/10010730130

The exact bootstrap method shown on the example of the mean and variance estimation

Kisielinska, Joanna - In: Computational Statistics 28 (2013) 3, pp. 1061-1077

The bootstrap method is based on resampling of the original randomsample drawn from a population with an unknown … parameters or in testing hypotheses. We should stress that in the exact bootstrap method the entire space of resamples is used …. The comparison of the obtained distributions with the limit distributions confirmed the accuracy of the exact bootstrap …

Persistent link: https://www.econbiz.de/10010847838

Model-free model-fitting and predictive distributions

Politis, Dimitris - In: TEST: An Official Journal of the Spanish Society of … 22 (2013) 2, pp. 183-221

The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. A basic principle of model-free prediction is laid out based on the...

Persistent link: https://www.econbiz.de/10010994256

A generalization of the Kaplan–Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models

Lopez, Olivier - In: Insurance: Mathematics and Economics 51 (2012) 3, pp. 505-516

we use are consistent, and propose a bootstrap procedure based on our estimator to compute the critical values. The new …

Persistent link: https://www.econbiz.de/10011046590

The uncertainties about the relationships risk–return–volatility in the Spanish stock market

Cao, Ricardo; Heras, Alicia; Saavedra, Angeles - In: Computational Statistics 24 (2009) 1, pp. 113-126

Persistent link: https://www.econbiz.de/10005184311

A simplified model for studying bivariate mortality under right-censoring

Gribkova, Svetlana; Lopez, Olivier; Saint-Pierre, Philippe - In: Journal of Multivariate Analysis 115 (2013) C, pp. 181-192

In this paper, we provide a nonparametric estimator of the distribution of bivariate censored lifetimes, in a model where the two censoring variables differ only through an additional observed variable. This situation is motivated by a particular application to insurance, where the supplementary...

Persistent link: https://www.econbiz.de/10010608113

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of econometrics 178 (2014) 1, pp. 167-179

Persistent link: https://www.econbiz.de/10010255448

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - 2013

point identification is achieved by assuming that g is a linear function of X. However, the assumption of linearity is … using the bootstrap. An empirical application illustrates the usefulness of shape restrictions for carrying out …

Persistent link: https://www.econbiz.de/10009761386

Modelling macroeconomic risk : the genesis of the European debt crisis

Schweinitz, Gregor von - 2013

Bootstrap; Europäische Währungsunion; Frühwarnsystem; Makroökonomische Ungleichgewichte; Makroökonomische Überwachung …Bootstrap; Early Warning System; European Monetary Union; Macroeconomic Imbalances; Macroeconomic Surveillance …

Persistent link: https://www.econbiz.de/10010418417