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Estimation in semiparametric models with missing data
Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012
This paper considers the problem of parameter estimation in a general class of semiparametric models when observations are subject to missingness at random. The semiparametric models allow for estimating functions that are non-smooth with respect to the parameter. We propose a nonparametric...
Persistent link: https://www.econbiz.de/10011109911
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Bias-Correction in Vector Autoregressive Models: A Simulation Study
Engsted, Tom; Pedersen, Thomas Q. - In: Econometrics 2 (2014) 1, pp. 45-71
compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models …
Persistent link: https://www.econbiz.de/10010752061
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On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations
Wang, Yongning; Tsay, Ruey S. - In: Econometrics 1 (2013) 1, pp. 1-31
model checking. A residual-based bootstrap method is provided and demonstrated as an effective way to approximate the …
Persistent link: https://www.econbiz.de/10010674374
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Testing for A Set of Linear Restrictions in VARMA Models Using Autoregressive Metric: An Application to Granger Causality Test
Iorio, Francesca Di; Triacca, Umberto - In: Econometrics 2 (2014) 4, pp. 203-216
In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, <em>M<sub>0</sub></em> and <em>M<sub>1</sub></em>, introduced by Piccolo in 1990. In particular, we show...
Persistent link: https://www.econbiz.de/10011105155
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LM-Tests for Linearity Against Smooth Transition Alternatives: A Bootstrap Simulation Study
Hill, Jonathan B. - EconWPA - 2004
LM sup-statistic and characterize the asymptotic p-value by Hansen's (1996) bootstrap method. In our simulations, we …
Persistent link: https://www.econbiz.de/10005119213
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LM-Tests for Linearity Against Smooth Transition Alternatives: A Bootstrap Simulation Study
Hill, Jonathan B. - Department of Economics, Florida International University - 2004
LM sup-statistic and characterize the asymptotic p-value by Hansen's (1996) bootstrap method. In our simulations, we …
Persistent link: https://www.econbiz.de/10005417214
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A bootstrap test for single index models
Härdle, Wolfgang; Mammen, Enno; Proença, Isabel - 2000
fixed link functions. In this paper we consider a bootstrap specification test that detects nonparametric deviations of the … link function. The bootstrap is used with the aim to find a more accurate distribution under the null than the normal … we show that the bootstrap is able to capture the negative bias and the skewness of the test statistic. It yields better …
Persistent link: https://www.econbiz.de/10010310223
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A bootstrap test for single index models
Härdle, Wolfgang; Mammen, Enno; Proença, Isabel - Sonderforschungsbereich 373, Quantifikation und … - 2000
fixed link functions. In this paper we consider a bootstrap specification test that detects nonparametric deviations of the … link function. The bootstrap is used with the aim to find a more accurate distribution under the null than the normal … we show that the bootstrap is able to capture the negative bias and the skewness of the test statistic. It yields better …
Persistent link: https://www.econbiz.de/10010983857
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Sequential Regression: A Neodescriptive Approach to Multicollinearity
Fickel, Norman - 2001
Classical regression analysis uses partial coefficients to measure the influences of some variables (regressors) on another variable (regressand). However, a descriptive point of view shows that these coefficients are very bad measures of influence. Their interpretation as an average change of...
Persistent link: https://www.econbiz.de/10011496022
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From Economic Activity to Understanding Spaces
Iribarren, Diego - 2003
This paper constructs the probability space underlying the random variable of any time dependent econometric specification. The construction links concrete economic activity, both perceived and recorded, and econometric formulations. Furthermore, it is argued that the probability events...
Persistent link: https://www.econbiz.de/10011496032