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Tests for Serial Independence and Linearity based on Correlation Integrals

Diks, Cees; Manzan, Sebastiano - 2001

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

Tests for Serial Independence and Linearity based on Correlation Integrals

Diks, Cees; Manzan, Sebastiano - Tinbergen Institute - 2001

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

Tests for serial independence and linearity based on correlation integrals

Diks, Cees G. H.; Manzan, Sebastiano - 2001

Persistent link: https://www.econbiz.de/10011317443

Monotonicity-constrained nonparametric estimation and inference for first-price auctions

Ma, Jun; Marmer, Vadim; Shneyerov, Artyom; Pai Xu - In: Econometric reviews 40 (2021) 10, pp. 944-982

Persistent link: https://www.econbiz.de/10012624567

PyTimeVar: A python package for trending time-varying time series models

Song, Mingxuan; van der Sluis, Bernhard; Lin, Yicong - 2024

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

Analysis of Length of Time Spent in Chapter 11 Bankruptcy

Lizundia, Orbe; María, Jesús; Antón, Núñez; … - Departamento de Economía Aplicada III (Econometría y … - 2001

This paper investigates original issuers of high yield bonds in Chapter 11 bankruptcy to determine which factors affect the length of time spent in Chapter 11. In order to do this analysis we propose a flexible new duration model, the censored partial regression model. This model allows us to...

Persistent link: https://www.econbiz.de/10005650103

Supplement to "Quantile-Based Nonparametric Inference for First-Price Auctions"

Marmer, Vadim; Shneyerov, Artyom - Vancouver School of Economics - 2009

, report additional simulations results, and provide a detailed proof of the bootstrap result in Marmer and Shneyerov (2010). …

Persistent link: https://www.econbiz.de/10008519517

Survival Analysis Using a Censored Semiparametric Regression Model

Antón, Núñez; Alfredo, Vicente; Lizundia, Orbe; … - Departamento de Economía Aplicada III (Econometría y … - 2000

covariates is unknown. We provide its estimation procedure and, in addition, a bootstrap technique to make inference on the …

Persistent link: https://www.econbiz.de/10005187593

Identifiability and estimation of the sign of a covariate effect in the competing risks model.

Lo, Simon M.S.; Wilke, Ralf A. - School of Economics, University of Nottingham

It is well known that the competing risks model is identified if the dependence structure between risks (the copula function) is known or assumed. Special cases include independence of risks or independent censoring. If the copula function is not specified, parameters of interest are only set...

Persistent link: https://www.econbiz.de/10009394344

Model-free Model-fitting and Predictive Distributions

Politis, Dimitris N - Department of Economics, University of California-San … - 2010

The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. A basic principle of model-free prediction is laid out based on the...

Persistent link: https://www.econbiz.de/10010676431