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determined with a permutation procedure and a parametric bootstrap in the testsfor serial independence and linearity …We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare …
Persistent link: https://www.econbiz.de/10010324976
determined with a permutation procedure and a parametric bootstrap in the tests for serial independence and linearity …We propose information theoretic tests for serial independence and linearity in time series. The test statistics are …
Persistent link: https://www.econbiz.de/10005504907
determined with a permutation procedure and a parametric bootstrap in the testsfor serial independence and linearity …We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare …
Persistent link: https://www.econbiz.de/10011317443
We propose information theoretic tests for serial independence and linearity in time series against nonlinear … statistics is determined by means of bootstrap methods. The size and power properties of the tests are examined by simulation and …
Persistent link: https://www.econbiz.de/10004966146
We propose information theoretic tests for serial independence and linearity in time series against nonlinear … statistics is determined by means of bootstrap methods. The size and power properties of the tests are examined by simulation and …
Persistent link: https://www.econbiz.de/10005246259
Persistent link: https://www.econbiz.de/10012624567
. Three resampling techniques for calculating -values are shown to be asymptotically valid: bootstrap, random symmetrization … and permutation. Monte Carlo simulations show that the bootstrap performs less satisfactorily than the others in adhering … suggest that the homogeneity tests proposed in this article performs better than the bootstrap version of Bartlett's test. …
Persistent link: https://www.econbiz.de/10009471477
In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments. We suggest controlling the size of such...
Persistent link: https://www.econbiz.de/10005101079
The co-movement of stocks and of fundamentals changes across the business cycle. Empirical studies have shown that the correlation of stock returns is stronger in crisis. We show that the correlation of fundamentals is the highest during crisis using a large sample of quarterly firm revenues...
Persistent link: https://www.econbiz.de/10008739723
bootstrap methods to address this issue. Despite this, no software package in any language has yet offered the recently … implements nonparametric estimation along with multiple new bootstrap-assisted inference methods. It provides a range of … bootstrap techniques for constructing pointwise confidence intervals and simultaneous bands for parameter curves. Additionally …
Persistent link: https://www.econbiz.de/10015130130