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Testing for Stochastic Dominance Efficiency

Scaillet, Olivier; Topaloglou, Nikolas - Swiss Finance Institute - 2005

bootstrap to achieve valid inference in a time series setting. The test statistics and the estimators are computed using linear …

Persistent link: https://www.econbiz.de/10005771790

Two-part models for fractional responses defined as ratios of integers

Oberhofer, Harald; Pfaffermayr, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 123-144

This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of integers. The first two-part model assumes a Binomial distribution and known group size. It nests the one-part fractional response model proposed by Papke and Wooldridge (1996)...

Persistent link: https://www.econbiz.de/10010417183

Generalized information matrix tests for detecting model misspecification

Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24

Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying,...

Persistent link: https://www.econbiz.de/10011650480

Simulation Based Bayesian Econometric Inference : Principles and Some Recent Computational Advances

Hoogerheide, Lennart F. - 2007

In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian inference. Next, the most popular and well-known...

Persistent link: https://www.econbiz.de/10012729891

Bootstrapping and Conditional Simulation in Kriging : Better Confidence Intervals and Optimization

Kleijnen, Jack P.C.; Mehdad, E. - Tilburg University, Center for Economic Research - 2013

Abstract: This paper investigates two related questions: (1) How to derive a confidence interval for the output of a combination of simulation inputs not yet simulated? (2) How to select the next combination to be simulated when searching for the optimal combination? To answer these questions,...

Persistent link: https://www.econbiz.de/10011091634

Expected Improvement in Efficient Global Optimization Through Bootstrapped Kriging - Replaces CentER DP 2010-62

Kleijnen, Jack P.C.; van Beers, W.C.M.; van Nieuwenhuyse, I. - Tilburg University, Center for Economic Research - 2011

This article uses a sequentialized experimental design to select simulation input com- binations for global optimization, based on Kriging (also called Gaussian process or spatial correlation modeling); this Kriging is used to analyze the input/output data of the simulation model (computer...

Persistent link: https://www.econbiz.de/10011092889

Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries

Lee, Kuo-Hao; Elkassabgi, Ahmed; Hsieh, Wei-Jen - In: Review of Economics & Finance 4 (2014) May, pp. 15-22

research by using of a leveraged bootstrap test developed by Hacker and Hatemi-J (2006) to examine the behavior of the …

Persistent link: https://www.econbiz.de/10010812029

Bootstrap prediction intervals for threshold autoregressive models

Jing, Li - Volkswirtschaftliche Fakultät, … - 2009

This paper examines the performance of prediction intervals based on bootstrap for threshold autoregressive models. We … consider four bootstrap methods to account for the variability of estimates, correct the small-sample bias of autoregressive … circumstances, and (3) two-sample bootstrap can improve long term forecast when errors are regime-dependent. …

Persistent link: https://www.econbiz.de/10005835843

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019

This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …

Persistent link: https://www.econbiz.de/10012018487

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2020

This paper shows how to bootstrap hypothesis tests in the context of the Parks’s (1967) Feasible Generalized Least … Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)’s top competitor. The FGLS(Parks) estimator …

Persistent link: https://www.econbiz.de/10012160012