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The influence of additive outliers on the performance of information criteria to detect nonlinearity
Rinke, Saskia - 2016
In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...
Persistent link: https://www.econbiz.de/10011521180
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The influence of additive outliers on the performance of information criteria to detect nonlinearity
Rinke, Saskia - 2016
In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...
Persistent link: https://www.econbiz.de/10011488709
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Information criteria for nonlinear time series models
Rinke, Saskia; Sibbertsen, Philipp - 2015
In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different...
Persistent link: https://www.econbiz.de/10011324708
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Information criteria for nonlinear time series models
Rinke, Saskia; Sibbertsen, Philipp - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 325-341
Persistent link: https://www.econbiz.de/10011507539
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Information criteria for nonlinear time series models
Rinke, Saskia; Sibbertsen, Philipp - 2015
In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different...
Persistent link: https://www.econbiz.de/10010503893
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Forecast Performance of Threshold Autoregressive Models - A Monte Carlo Study
Aydemir, Abdurrahman Bekir - University of Western Ontario, Department of Economics - 1998
Threshold Autoregressive Models (TAR) along with other nonlinear time series models have attracted much attention in recent years in time series analysis. TAR models have been applied to a variety of time series. It has been reported that they have a good in sample fit but like many other...
Persistent link: https://www.econbiz.de/10005812572
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Information Criteria for Nonlinear Time Series Models
Rinke, Saskia; Sibbertsen, Philipp - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2015
In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different...
Persistent link: https://www.econbiz.de/10011207947
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019
This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …
Persistent link: https://www.econbiz.de/10012020272
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Percentile and Percentile- t Bootstrap Confidence Intervals: A Practical Comparison
Elias, Christopher J. - In: Journal of Econometric Methods 4 (2015) 1, pp. 153-161
Abstract This paper employs a Monte Carlo study to compare the performance of equal-tailed bootstrap percentile- t … , symmetric bootstrap percentile- t , bootstrap percentile, and standard asymptotic confidence intervals in two distinct … heteroscedastic regression models. Bootstrap confidence intervals are constructed with both the XY and wild bootstrap algorithm …
Persistent link: https://www.econbiz.de/10014612565
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Bootstrap interval estimation of wildlife population sizes from multiple surveys
Mutsvairo, Itayi - 2008
The research deals with bootstrap interval estimation of wildlife population sizes frommultiple surveys in the Hluhluwe … using line transect sampling and mark-recapture methodsrespectively. The bootstrap and jackknife procedures were applied … separately to each ofthe datasets. Bootstrap estimates for each of the time point were obtained and theconfidence intervals of …
Persistent link: https://www.econbiz.de/10009447712