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Goodness-of-fit test for copulas
Panchenko, Valentyn - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 176-182
Copulas are often used in finance to characterize the dependence between assets. However, a choice of the functional form for the copula is an open question in the literature. This paper develops a goodness-of-fit test for copulas based on positive definite bilinear forms. The suggested test...
Persistent link: https://www.econbiz.de/10010589678
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Testing rank similarity in the local average treatment effects model
Kim, Ju Hyun; Park, Byoung Gun - In: Econometric reviews 41 (2022) 10, pp. 1265-1286
Persistent link: https://www.econbiz.de/10013490706
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Frequency domain local bootstrap in short and long memory time series
Arteche, Josu - In: Econometric reviews 44 (2025) 2, pp. 163-191
Persistent link: https://www.econbiz.de/10015196596
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Measuring efficiency and productivity changes : a non-parametric analysis of Ghanaian life insurance industry
Ashiagbor, Albert Ayi; Dziwornu, Raymond; Gbade, Aku Vivian - In: Cogent economics & finance 11 (2023) 1, pp. 1-14
the bootstrap technique to measure the productivity changes of a sample of 19 out of 20 Ghanaian life insurance firms for …
Persistent link: https://www.econbiz.de/10014500826
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Testing semiparametric hypotheses in locally stationary processes
Vetter, Mathias; Dette, Holger - 2011
Persistent link: https://www.econbiz.de/10009153837
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Testing for a general class of functional inequalities
Lee, Sokbae; Song, Kyungchul; Whang, Yoon-jae - 2014
functionals of kernel-type estimators (1 < p < ∞) and is easy to implement in general, mainly due to its recourse to the bootstrap … method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated … "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large …
Persistent link: https://www.econbiz.de/10010254852
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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
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Identification and shape restrictions in nonparametric instrumental variables estimation
Freyberger, Joachim; Horowitz, Joel - 2013
using the bootstrap. An empirical application illustrates the usefulness of shape restrictions for carrying out …
Persistent link: https://www.econbiz.de/10009761386
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Smooth minimum distance estimation and testing with conditional estimating equations : uniform in bandwidth theory
Lavergne, Pascal; Patilea, Valentin - In: Journal of econometrics 177 (2013) 1, pp. 47-59
Persistent link: https://www.econbiz.de/10010189879
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Tie the straps : uniform bootstrap con fidence bands for bounded influence curve estimators
Härdle, Wolfgang; Ritov, Ya'acov; Wang, Weining - 2013
We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and … verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are …. Our bootstrap method can be used in many situations like constructing con dence intervals and bands. We demonstrate the …
Persistent link: https://www.econbiz.de/10010195959