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Finance and Economics Discussion Series: On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series

Berkowitz, Jeremy

ISBN 10: 1288718586 / ISBN 13: 9781288718580
Editorial: BiblioGov
Nuevos Condición: New Encuadernación de tapa blanda
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1288718586 Special order direct from the distributor. N° de ref. de la librería ING9781288718580

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Título: Finance and Economics Discussion Series: On ...

Editorial: BiblioGov

Encuadernación: PAPERBACK

Condición del libro:New

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Sinopsis:

In recent years, there has been increasing interest in nonparametric bootstrap inference for economic time series. Nonparametric resampling techniques help protect against overly optimistic inference in time series models of unknown structure. They are particularly useful for evaluating the fit of dynamic economic models in terms of their spectra, impulse responses, and related statistics, because they do not require a correctly specified economic model. Notwithstanding the potential advantages of nonparametric bootstrap methods, their reliability in small samples is questionable. In this paper, we provide a benchmark for the relative accuracy of several nonparametric resampling algorithms based on ARMA representations of four macroeconomic time series. For each algorithm, we evaluate the effective coverage accuracy of impulse response and spectral density bootstrap confidence intervals for standard sample sizes. We find that the autoregressive sieve approach based on the encompassing model is most accurate. However, care must be exercised in selecting the lag order of the autoregressive approximation.

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