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Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics

Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2005

asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general … montrons aussi que les tests basés sur la technique du bootstrap paramétrique peut s'interpréter comme une version simplifiée … plus générales que le bootstrap paramétrique. …

Persistent link: https://www.econbiz.de/10005100868

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...

Persistent link: https://www.econbiz.de/10005133089

Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics

DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2005

asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general …

Persistent link: https://www.econbiz.de/10008671575

Puzzling Integratedness of Interest Rates: A Case for Nonparametric Threshold Cointegration?

Cron, Axel; Weidmann, Jens - University of Bonn, Germany - 1996

It is commonly found in empirical studies that nominal interest rates contain a unit root, implying that these variables have a permanent memory. One of the characteristics of a nonstationary time series is that it has no tendency to return to its mean values, meaning that the series is trending...

Persistent link: https://www.econbiz.de/10004968217

Predictability of Equity Models

Valls Pereira, Pedro L.; Chicaroli, Rodrigo - Volkswirtschaftliche Fakultät, … - 2009

(2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find …

Persistent link: https://www.econbiz.de/10004980415

Test of misspecification with application to negative binomial distribution

Chua, K.; Ong, S. - In: Computational Statistics 28 (2013) 3, pp. 993-1009

A misspecification test based directly on Bartlett’s First Identity is examined. This test is exemplified by the negative binomial distribution. A Monte Carlo simulation study has been conducted, in the context of testing distributional misspecification, and the performance of the proposed...

Persistent link: https://www.econbiz.de/10010847923

A test for bivariate normality with applications in microeconometric models

Lucchetti, Riccardo; Pigini, Claudia - In: Statistical Methods and Applications 22 (2013) 4, pp. 535-572

matrix test for censored models with bootstrap critical values. In order to evaluate its properties, we run a comprehensive … that, while asymptotic critical values can be seriously misleading, the use of bootstrap critical values results in a test …

Persistent link: https://www.econbiz.de/10010848091

Methods for variance estimation under random hot deck imputation in business surveys

Righi, Paolo; Falorsi, Stefano; Fasulo, Andrea - In: Rivista di statistica ufficiale 16 (2014) 1-2, pp. 45-64

the paper three variance methods under imputatation are taken into account. Two of them are the well known bootstrap and …

Persistent link: https://www.econbiz.de/10011071733

Bootstrap Based Bias Correction for Homogeneous Dynamic²² Panels

EVERAERT, G.; POZZI, L. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2004

moderate T. We present a bias correction for this estimator based on an iterative bootstrap procedure. Monte Carlo simulations … show that this procedure is a good alternative for the analytical correction by Kiviet (1995, JE). The bootstrap (i …

Persistent link: https://www.econbiz.de/10004982998

Bootstrapping the Malmquist Productivity Index: A Simulation Study

Löthgren, Mickael - Economics Institute for Research (SIR), … - 1997

This paper presents a Monte Carlo simulation study of the bootstrap algorithm proposed by Löthgren and Tambour (1997 …) for calculation of bootstrap confidence intervals for the firm-specific Data Envelopment Analysis (DEA) Malmquist … productivity index. The simulation results indicate that the coverage accuracy of bootstrap confidence intervals are near the …

Persistent link: https://www.econbiz.de/10005649328