[PDF] Top 20 Simulation-Based Finite-Sample Normality Tests in Linear Regressions
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Simulation-Based Finite-Sample Normality Tests in Linear Regressions
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Simulation Based Finite and Large Sample Tests in Multivariate Regressions
... In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards ...overrejection. In this paper, we ... Voir le document complet
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Simulation-based finite and large sample tests in multivariate regressions
... finite sample properties of bootstrap tests remain to be ...randomized tests have been suggested in the MLR literature for a number of special test problems and are re- ferred to under the name ... Voir le document complet
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Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions
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Simulation-Based Finite and Large Sample Tests in Multivariate Regressions
... finite sample properties of bootstrap tests remain to be ...randomized tests have been suggested in the MLR literature for a number of special test problems and are re- ferred to under the name ... Voir le document complet
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Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing
... a finite number of parameters have been ...is based on an extension of the old technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963), Birnbaum (1974)], which we call maximized Monte Carlo ... Voir le document complet
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Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing
... consists in showing that the proposed theoretical approach can indeed be implemented in a high-dimensional setup, such as a VAR ...(LR) tests for two categories of hypotheses: (1) the order of a VAR ... Voir le document complet
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Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
... individual tests to an approximate p-value form, in order to combine ...a simulation study to assess the usefulness of the proposed ...(1) Tests based on asymptotic distributions can be ... Voir le document complet
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Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models
... other tests reject α s ≤ 1. 6 7. Conclusion In this paper, we have proposed a class of exact procedures for testing goodness-of-fit of the error distribution in MLR ...are based on ... Voir le document complet
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The SAEM algorithm for group comparison tests in longitudinal data analysis based on non-linear mixed-effects model.
... statistics in the E-step. This Monte-Carlo imple- mentation is based on independently distributed samples with the posterior density of the parameters conditional on the ...large sample simulations ... Voir le document complet
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Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions
... proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, ...disturbances in different equations are contemporaneously uncorrelated or ...(MC) ... Voir le document complet
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Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors
... values. In other words, if the null hypothesis has the form H 0 (β 0 ) : β = β 0 , the estimator corresponds to the value of β 0 which is “least rejected” by the test ...Both finite-sample and ... Voir le document complet
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Kernels based tests with non-asymptotic bootstrap approaches for two-sample problem
... ) in the density model, when the sample sizes are ...are based on approximation kernels from the classical non- parametric kernel estimation approach, whereas Gretton et ...consist in unbiased ... Voir le document complet
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Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics
... to tests and confidence sets, these techniques only have asymptotic justifications and do not yield inferences that are provably valid (in the sense of correct levels) in finite ...of simulation ... Voir le document complet
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Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics
... to tests and confidence sets, these techniques only have asymptotic justifications and do not yield inferences that are provably valid (in the sense of correct levels) in finite ...of ... Voir le document complet
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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
... and simulation designs that were considered. In this paper, we describe a general solution to the problem of controlling the size of ho- moskedasticity tests in linear regression ... Voir le document complet
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
... As in Breeden et ...included in the ...value-weighted in each ...reported in Tables 2–3. We report, in addition to the asymptotic p-values [denoted b p ∞ ] when available, three MC ... Voir le document complet
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Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
... these tests may be quite difficult to establish in finite samples and even asymptotically, we show that the tests can easily be implemented as finite-sample MC ... Voir le document complet
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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
... of tests for heteroskedasticity have been proposed in the econometric and statistics ...homoskedasticity tests are available, the commonly employed procedures are quite generally based on ... Voir le document complet
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
... consider tests for se- rial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and ...applied in Shanken (1990) which consist in combining ... Voir le document complet
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