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A multiple testing approach to the regularisation of large sample correlation matrices

Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015

This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the … of estimating the theoretical constant arising in the rate of convergence of existing thresholding estimators, and hence … it is easy to implement and does not require cross-validation. The MT estimator of the sample correlation matrix is shown …

Persistent link: https://www.econbiz.de/10011405221

A multiple testing approach to the regularisation of large sample correlation matrice

Bailey, Natalia; Peseran, Hashem; Smith, L. Vanessa - 2014

Persistent link: https://www.econbiz.de/10010366306

A multiple testing approach to the regularisation of large sample correlation matrices

Bailey, Natalia; Pesran, M. Hashem; Smith, L. Vanessa - In: Journal of econometrics 208 (2019) 2, pp. 507-534

Persistent link: https://www.econbiz.de/10012145084

A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets

Bailey, Natalia - 2014

multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte …This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our …

Persistent link: https://www.econbiz.de/10013051612

A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices

Bailey, Natalia - 2014

Persistent link: https://www.econbiz.de/10013053343

A test of the conditional independence assumption in sample selection models

Huber, Martin; Melly, Blaise - 2012 - Last changes: September 2012

Identification in most sample selection models depends on the independence of the regressors and the error terms conditional on the selection probability. All quantile and mean functions are parallel in these models; this implies that quantile estimators cannot reveal any - per assumption...

Persistent link: https://www.econbiz.de/10009633861

Inference for best linear approximations to set identified functions

Chandrasekhar, Arun; Chernozhukov, Victor; Molinari, … - 2012

This paper provides inference methods for best linear approximations to functions which are known to lie within a band. It extends the partial identification literature by allowing the upper and lower functions defining the band to be any functions, including ones carrying an index, which can be...

Persistent link: https://www.econbiz.de/10009692055

Best linear approximations to set identified functions : with an application to the gender wage gap

Chandrasekhar, Arun G.; Chernozhukov, Victor; Molinari, … - 2019 - This version: December 11, 2018

This paper provides inference methods for best linear approximations to functions which are known to lie within a band. It extends the partial identifi cation literature by allowing the upper and lower functions de ning the band to carry an index, and to be unknown but parametrically or...

Persistent link: https://www.econbiz.de/10011978436

Bootstraps, Permutation Tests, and Sampling Orders of Magnitude Faster Using SAS®

Opdyke, J.D. - 2017

easily generalizable to multivariate regression models, and OPDN, which uses an extremely efficient draw-by-draw random-sampling …

Persistent link: https://www.econbiz.de/10012974353

Restricted Likelihood Ratio Tests in Predictive Regression

Phillips, Peter C. B. - 2014

Chen and Deo (2009a) proposed procedures based on restricted maximum likelihood (REML) for estimation and inference in … the context of predictive regression. Their method achieves bias reduction in both estimation and inference which assists …

Persistent link: https://www.econbiz.de/10013043159