Academic Journal
Improved nonparametric confidence intervals in time series regressions
| العنوان: | Improved nonparametric confidence intervals in time series regressions |
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| المؤلفون: | Romano, Joseph P, Wolf, Michael |
| المصدر: | Romano, Joseph P; Wolf, Michael (2006). Improved nonparametric confidence intervals in time series regressions. Journal of Nonparametric Statistics, 18(2):199-214. |
| بيانات النشر: | Taylor & Francis |
| سنة النشر: | 2006 |
| المجموعة: | University of Zurich (UZH): ZORA (Zurich Open Repository and Archive |
| مصطلحات موضوعية: | Department of Economics, 330 Economics, Bootstrap, Confidence intervals, Studentization, Time series regressions, Prewithening |
| الوصف: | Confidence intervals in econometric time series regressions suffer from notorious coverage problems. This is especially true when the dependence in the data is noticeable and sample sizes are small to moderate, as is often the case in empirical studies. This article suggests using the studentized block bootstrap and discusses practical issues such as the choice of the block size. A particular data-dependent method is proposed to automate the method. As a side note, it is pointed out that symmetric confidence intervals are preferred over equal-tailed ones, as they exhibit improved coverage accuracy. The improvements in small sample performance are supported by a simulation study. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| تدمد: | 1026-7654 |
| Relation: | https://www.zora.uzh.ch/2237; urn:issn:1026-7654 |
| DOI: | 10.1080/10485250600687812 |
| الاتاحة: | https://www.zora.uzh.ch/id/eprint/2237/ https://www.zora.uzh.ch/2237 https://doi.org/10.1080/10485250600687812 |
| Rights: | info:eu-repo/semantics/closedAccess |
| رقم الانضمام: | edsbas.9E4F191F |
| قاعدة البيانات: | BASE |
| تدمد: | 10267654 |
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| DOI: | 10.1080/10485250600687812 |