Mohlo by sa vám tiež páčiť

Viac informácií o knihe Finance and Economics Discussion Series

• Parametre knihy
• Anotácia kniha
• Obľúbené z iného súdka

Nákupom získate 53 bodov

Anotácia knihy

In recent years, several new parametric and nonparametric bootstrap methods have been proposed for time series data. Which of these methods should applied researchers use? We provide evidence that for many applications in time series econometrics parametric methods are more accurate, and we identify directions for future research on improving nonparametric methods. We explicitly address the important, but often neglected issue of model selection in bootstrapping. In particular, we emphasize the advantages of the AIC over other lag order selection criteria and the need to account for lag order uncertainty in resampling. We also show that the block size plays an important role in determining the success of the block bootstrap, and we propose a data-based block size selection procedure.

Parametre knihy

Zaradenie knihy Knihy po anglicky Society & social sciences Politics & government

• Celý názov: Finance and Economics Discussion Series
• Podnázov: Recent Developments in Bootstrapping Time Series
• Autor: Lutz Kilian
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 52
• EAN: 9781288722167
• ISBN: 9781288722167
• ID: 08275297
• Nakladateľ: Bibliogov
• Hmotnosť: 109 g
• Rozmery: 246 × 189 × 3 mm
• Dátum vydania: 06. February 2013

---

---

---