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Author: Anindya Banerjee
Publisher:
ISBN:
Category : Bootstrap (Statistics)
Languages : en
Pages : 21
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Book Description
Author: Anindya Banerjee
Publisher:
ISBN:
Category : Bootstrap (Statistics)
Languages : en
Pages : 21
Get Book Here
Book Description
Author: Anindya Banerjee
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
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Book Description
Author: Christian de Peretti
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Sergei Antoshin
Publisher: International Monetary Fund
ISBN:
Category : Computers
Languages : en
Pages : 34
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Book Description
In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their methodology to deal with small samples by using Monte Carlo simulations to determine sample-specific critical values under the each time the test is run. We draw on the results of our simulations to offer practical suggestions on handling serial correlation, model misspecification, and the use of alternative test statistics for sequential testing. We show that, for most types of data generating processes in samples with as low as 50 observations, our proposed modifications perform substantially better.
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
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Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author: Étienne Billette de Villemeur
Publisher:
ISBN:
Category : Decision making
Languages : en
Pages : 44
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Author: Stephan Smeekes
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We propose an approach to investigate the unit root properties of individual units in a time series panel or large multivariate time series, based on testing user-defined increasing proportions of hypothesized I(0) units sequentially. Asymptotically valid critical values are obtained using the block bootstrap. This sequential approach has an advantage over multiple testing approaches as it can exploit the (cross-sectional) dimension of the system, which the multiple testing approaches cannot do effectively. A simulation study and an empirical application are conducted to analyse the relative performance of the approach in comparison with multiple testing approaches. These demonstrate the usefulness of our method, in particular in systems with a relatively small time dimension.
Author: C. Milas
Publisher: Emerald Group Publishing
ISBN: 044451838X
Category : Business & Economics
Languages : en
Pages : 461
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Book Description
This volume of Contributions to Economic Analysis addresses a number of important questions in the field of business cycles including: How should business cycles be dated and measured? What is the response of output and employment to oil-price and monetary shocks? And, is the business cycle asymmetric, and does it matter?
Author: Søren Johansen
Publisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 64
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Book Description
Author: Roger E. A. Farmer
Publisher:
ISBN:
Category : Keynesian economics
Languages : en
Pages : 68
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