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Displaying results 1 to 3 of 3.

  1. Wild bootstrap inference for penalized quantile regression for longitudinal data
    Author: Lamarche, Carlos; Parker, Thomas
    Published: [2022]
    Publisher:  [Department of Economics, University of Waterloo], [Waterloo, Ontario]

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Waterloo economic series] ; [# 22, 003]
    Subjects: Quantile regression; panel data; penalized estimator; bootstrap inference
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  2. Robust bootstrap inference for linear time-varying coefficient models
    some Monte Carlo evidence
    Author: Lin, Yicong; Song, Mingxuan
    Published: [2023]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    We propose two robust bootstrap-based simultaneous inference methods for time series models featuring time-varying coefficients and conduct an extensive simulation study to assess their performance. Our exploration covers a wide range of scenarios,... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432
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    We propose two robust bootstrap-based simultaneous inference methods for time series models featuring time-varying coefficients and conduct an extensive simulation study to assess their performance. Our exploration covers a wide range of scenarios, encompassing serially correlated, heteroscedastic, endogenous, nonlinear, and nonstationary error processes. Additionally, we consider situations where the regressors exhibit unit roots, thus delving into a nonlinear cointegration framework. We find that the proposed moving block bootstrap and sieve wild bootstrap methods show superior, robust small sample performance, in terms of empirical coverage and length, compared to the sieve bootstrap introduced by Friedrich and Lin (2022) for stationary models. We then revisit two empirical studies: herding effects in the Chinese new energy market and consumption behaviors in the U.S. Our findings strongly support the presence of herding behaviors before 2016, aligning with earlier studies. However, we diverge from previous research by finding no substantial herding evidence between around 2018 and 2021. In the second example, we find a time-varying cointegrating relationship between consumption and income in the U.S.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/282862
    Series: Array ; TI 2023, 049
    Subjects: time-varying models; bootstrap inference; simultaneous confidence bands; energy market; nonlinear cointegration
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  3. Bootstrap inference for Hawkes and general point processes
    Author: Cavaliere, Giuseppe; Lu, Ye; Rahbek, Anders; Stærk-Østergaard, Jacob
    Published: [2021]
    Publisher:  Department of Economics, University of Copenhagen, Copenhagen, Denmark

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 572
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: March 2021
    Series: Discussion papers / Department of Economics, University of Copenhagen ; no. 21, 05
    Subjects: Self-exciting point processes; conditional intensity; bootstrap inference; Hawkes process
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen