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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 …
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our approach bootstrap fails in practice and theory. Instead, we propose a subsampling procedure with automatic parameter …
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This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We...
Persistent link: https://www.econbiz.de/10011485564
different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …
Persistent link: https://www.econbiz.de/10011325661
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dimensions in a general time series setting. We propose a novel bootstrap method in this nonstandard context and show that it …
Persistent link: https://www.econbiz.de/10012807744
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