首页 | 本学科首页   官方微博 | 高级检索  
相似文献
 共查询到10条相似文献,搜索用时 218 毫秒
1.
This paper uses monthly observations for the real exchange rate between Canada and the United States over the recent flexible exchange rate period (from January 1, 1973 to August 1, 2004) to test purchasing power parity between Canada and the United States using unit root and stationarity tests. Moreover, given the apparent random walk behavior in the real exchange rate, various tests from dynamical systems theory, such as for example, the Nychka et al. [Nychka DW, Ellner S, Ronald GA, McCaffrey D. Finding chaos in noisy systems. J Roy Stat Soc B 1992;54:399–426] chaos test, the Li [Li W. Absence of 1/f spectra in Dow Jones average. Int J Bifurcat Chaos 1991;1:583–97] self-organized criticality test, and the Hansen [Hansen, B.E. Inference when a nuisance parameter is not identified under the null hypothesis. Econometrica 1996;64:413–30] threshold effects test are used to distinguish between stochastic and deterministic origin for the real exchange rate.  相似文献   

2.
We derive the optimal solution for the problem of choosing a non-anticipative decision rule to maximize the stopping variance of a finite horizon, increasing random walk subject to a distributional constraint, as well as an explicit upper limit on the variance of the walk’s stopping state. Problems of this caliber arise as subproblems for risk-constrained versions of standard stopping problems in areas including, for instance, market entry decision-making. A numerical example verifies the main result.  相似文献   

3.
This paper uses univariate and multivariate singular spectrum analysis for predicting the value and the direction of changes in the daily pound/dollar exchange rate. In prediction of daily pound/dollar rate, we use the rescaled and bootstrapped daily euro/dollar rate as a guidepost for the singular spectrum analysis method. We use the random walk model as a benchmark to evaluate performances of the singular spectrum analysis as a prediction method. Empirical results show that the forecast based on the multivariate singular spectrum analysis compares favorably to the forecast of the random walk model both for predicting the value and the direction of changes in the daily pound/dollar exchange rate. We compared the prediction results based on an error correction model in the context of a restricted vector autoregressive model and compared them with the prediction results by a random walk as well as by those of singular spectrum and multiple singular spectrum models and found that the VEC results are inferior.  相似文献   

4.
Random weighting method for Cox’s proportional hazards model   总被引:1,自引:0,他引:1  
Variance of parameter estimate in Cox’s proportional hazards model is based on asymptotic variance. When sample size is small, variance can be estimated by bootstrap method. However, if censoring rate in a survival data set is high, bootstrap method may fail to work properly. This is because bootstrap samples may be even more heavily censored due to repeated sampling of the censored observations. This paper proposes a random weighting method for variance estimation and confidence interval estimation for proportional hazards model. This method, unlike the bootstrap method, does not lead to more severe censoring than the original sample does. Its large sample properties are studied and the consistency and asymptotic normality are proved under mild conditions. Simulation studies show that the random weighting method is not as sensitive to heavy censoring as bootstrap method is and can produce good variance estimates or confidence intervals.  相似文献   

5.
Heteroscedasticity checks for regression models   总被引:1,自引:0,他引:1  
For checking on heteroscedasticity in regression models, a unified approach is proposed to constructing test statistics in parametric and nonparametric regression models. For nonparametric regression, the test is not affected sensitively by the choice of smoothing parameters which are involved in estimation of the nonparametric regression function. The limiting null distribution of the test statistic remains the same in a wide range of the smoothing parameters. When the covariate is one-dimensional, the tests are, under some conditions, asymptotically distribution-free. In the high-dimensional cases, the validity of bootstrap approximations is investigated. It is shown that a variant of the wild bootstrap is consistent while the classical bootstrap is not in the general case, but is applicable if some extra assumption on conditional variance of the squared error is imposed. A simulation study is performed to provide evidence of how the tests work and compare with tests that have appeared in the literature. The approach may readily be extended to handle partial linear, and linear autoregressive models.  相似文献   

6.
We study the standard-bootstrap, the centered-bootstrap, and the empirical-likelihood bootstrap tests of hypotheses used in conjunction with generalized method of moments inference in correctly specified and misspecified moment condition models. We show that, under correct specification, the standard-bootstrap estimator of the null distribution of the J-test converges in distribution to a random distribution, verifying its inconsistency, while the centered and the empirical-likelihood bootstrap estimators are consistent. We provide higher-order expansions of the size distortions of the analytic and the bootstrap tests. We show that the standard-bootstrap parameter-tests are consistent under misspecification, while the centered-bootstrap parameter-tests are inconsistent. We propose a general bootstrap methodology which is highly accurate under correct specification and consistent under misspecification. In a simulation study, we explore the finite sample behavior of the analytic and the bootstrap tests for a panel data model and we apply our methodology on a real-world data set.  相似文献   

7.
Spearman’s rank-correlation coefficient (also called Spearman’s rho) represents one of the best-known measures to quantify the degree of dependence between two random variables. As a copula-based dependence measure, it is invariant with respect to the distribution’s univariate marginal distribution functions. In this paper, we consider statistical tests for the hypothesis that all pairwise Spearman’s rank correlation coefficients in a multivariate random vector are equal. The tests are nonparametric and their asymptotic distributions are derived based on the asymptotic behavior of the empirical copula process. Only weak assumptions on the distribution function, such as continuity of the marginal distributions and continuous partial differentiability of the copula, are required for obtaining the results. A nonparametric bootstrap method is suggested for either estimating unknown parameters of the test statistics or for determining the associated critical values. We present a simulation study in order to investigate the power of the proposed tests. The results are compared to a classical parametric test for equal pairwise Pearson’s correlation coefficients in a multivariate random vector. The general setting also allows the derivation of a test for stochastic independence based on Spearman’s rho.  相似文献   

8.
Random coefficient regressions have been applied in a wide range of fields, from biology to economics, and constitute a common frame for several important statistical models. A nonparametric approach to inference in random coefficient models was initiated by Beran and Hall. In this paper we introduce and study goodness of fit tests for the coefficient distributions; their asymptotic behavior under the null hypothesis is obtained. We also propose bootstrap resampling strategies to approach these distributions and prove their asymptotic validity using results by Giné and Zinn on bootstrap empirical processes. A simulation study illustrates the properties of these tests.  相似文献   

9.
A comparison between empirical likelihood and bootstrap tests for a mean parameter against a series of local alternative hypotheses is made by developing Edgeworth expansions for the power functions of the two tests. For univariate and bivariate cases, practical rules are proposed for choosing the more powerful test.  相似文献   

10.
 In this paper we present a new and flexible method to show that, in one dimension, various self-repellent random walks converge to self-repellent Brownian motion in the limit of weak interaction after appropriate space-time scaling. Our method is based on cutting the path into pieces of an appropriately scaled length, controlling the interaction between the different pieces, and applying an invariance principle to the single pieces. In this way, we show that the self-repellent random walk large deviation rate function for the empirical drift of the path converges to the self-repellent Brownian motion large deviation rate function after appropriate scaling with the interaction parameters. The method is considerably simpler than the approach followed in our earlier work, which was based on functional analytic arguments applied to variational representations and only worked in a very limited number of situations. We consider two examples of a weak interaction limit: (1) vanishing self-repellence, (2) diverging step variance. In example (1), we recover our earlier scaling results for simple random walk with vanishing self-repellence and show how these can be extended to random walk with steps that have zero mean and a finite exponential moment. Moreover, we show that these scaling results are stable against adding self-attraction, provided the self-repellence dominates. In example (2), we prove a conjecture by Aldous for the scaling of self-avoiding walk with diverging step variance. Moreover, we consider self-avoiding walk on a two-dimensional horizontal strip such that the steps in the vertical direction are uniform over the width of the strip and find the scaling as the width tends to infinity. Received: 6 March 2002 / Revised version: 11 October 2002 / Published online: 21 February 2003 Mathematics Subject Classification (2000): 60F05, 60F10, 60J55, 82D60 Key words or phrases: Self-repellent random walk and Brownian motion – Invariance principles – Large deviations – Scaling limits – Universality  相似文献   

设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号