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Linearity and misspecification tests for vector smooth transition regression models
Terasvirta, Timo; Yang, Yukai - Center for Operations Research and Econometrics (CORE), … - 2014
In this paper, we derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition models. We report results from simulation studies in which the size and power properties of the proposed tests in small samples are considered. The...
Persistent link: https://www.econbiz.de/10011246322
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A nonparametric copula based test for conditional independence with applications to Granger causality
BOUEZMARNI, Taoufik; ROMBOUTS, Jeroen; TAAMOUTI, Abderrahim - Center for Operations Research and Econometrics (CORE), … - 2009
Persistent link: https://www.econbiz.de/10008550166
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Bootstrap Estimation for Nonparametric Efficiency Estimates
WILSON, Paul; SIMAR, Leopold - Center for Operations Research and Econometrics (CORE), … - 1995
This paper develops a consistent bootstrap estimation procedure to obtain confidence intervals for nonparametric … bootstrap procedure also corrects for bias inherent in non parametric efficiency estimators. …
Persistent link: https://www.econbiz.de/10005042969
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Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration
SILVESTRINI, Andrea - Center for Operations Research and Econometrics (CORE), … - 2007
perform the preliminary unit roots analysis and the selection of the cointegration rank using parametric and bootstrap …
Persistent link: https://www.econbiz.de/10005043105
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A better way to bootstrap pairs
FLACHAIRE, Emmanuel - Center for Operations Research and Econometrics (CORE), … - 1999
In this paper we are interested in heteroskedastic regression models, for which an appropriate bootstrap method is …
Persistent link: https://www.econbiz.de/10005043403