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Small Sample Properties of Parametric and Nonparametric Estimators in Quantal
, 2003
"... In bioassay, the logit model is the most widely used parametric model. However, the exact form of the response curve is usually unknown and even very complicated, so it is likely that the true model does not follow the logit model. Therefore, according to well known asymptotic results, when the sam ..."
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would like to compare the small sample properties of the logit model and the nonparametric estimator. As the nonparametric method, we choose the locally weighted quasi–likelihood estimator. A Monte Carlo study was done under various circumstances, and it turned out that the locally weighted quasi
Small Sample Properties of Nonparametric Bootstrap t Confidence Intervals
, 1997
"... Confidence intervalconstruction forcentraltendency is aproblem of practical consequence for those who must analyze air contaminantdata.Determinationofcompliancewith relevant ambientairqualitycriteriaandassessmentof associatedhealth risks depend upon quantifying the uncertainty of estimated mean ..."
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. Properties ofbootstrap confidence intervals were determined for samples generated from lognormal, gamma, and Weibull distributions. Bootstrap t intervals, while having smaller coverage errors than Student's t or other bootstrap methods, undercover for small samples from skewed distributions
Improving Small Sample Properties of the Empirical Likelihood Estimation ∗
, 2002
"... Discussion Papers are a series of manuscripts in their draft form. They are not intended for circulation or distribution except as indicated by the author. For that reason Discussion Papers may not be reproduced or distributed without the written consent of the author CIRJEF184 ..."
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Discussion Papers are a series of manuscripts in their draft form. They are not intended for circulation or distribution except as indicated by the author. For that reason Discussion Papers may not be reproduced or distributed without the written consent of the author CIRJEF184
Small Sample Properties of the Hansen's
, 2004
"... Contents 1 Introduction 2 2 Tools 4 3 The PhillipsHansen and Hansen's estimation methods 10 3.1 The PhillipsHansen Method for a ConstantParameters Model: FMOLS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 3.2 Estimation of cointegrating relationship for a model with co ..."
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Contents 1 Introduction 2 2 Tools 4 3 The PhillipsHansen and Hansen's estimation methods 10 3.1 The PhillipsHansen Method for a ConstantParameters Model: FMOLS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 3.2 Estimation of cointegrating relationship for a model with constant parameters in presence of deterministic trends . . . . . . . 11 3.3 The Hansen Method . . . . . . . . . . . . . . . . . . . . . . . . . 13 3.4 Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 4 The Hansen's tests 16 4.1 The L c test for OLS model . . . . . . . . . . . . . . . . . . . . . 17 4.2 The L c ; MeanFandSupF for FMOLS . . . . . . . . . . . . . . . 19 4.3 Choice of a method of spectral density estimation . . . . . . . . . 20 4.4 Comparison of the Hansen's test statistics for several kernels . . 22 5 Example: money demand for Poland 24 6 Summary 27 1 Chap
On the Small Sample Properties of Weak Exogeneity Tests in Cointegrated VAR models
, 2002
"... We investigate the small sample properties of two types of weak exogeneity tests in cointegrated VAR models that are frequently used in applied work. The first one is the standard Likelihood Ratio (LR) test in the Johansen framework. The second test is based on mapping the cointegrated VAR model in ..."
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We investigate the small sample properties of two types of weak exogeneity tests in cointegrated VAR models that are frequently used in applied work. The first one is the standard Likelihood Ratio (LR) test in the Johansen framework. The second test is based on mapping the cointegrated VAR model
Ranking of Simultaneous Equation Techniques to Small Sample Properties and Correlated Random Deviates
"... Abstract: Problem statement: All simultaneous equation estimation methods have some desirable asymptotic properties and these properties become effective in large samples. This study is relevant since samples available to researchers are mostly small in practice and are often plagued with the proble ..."
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Abstract: Problem statement: All simultaneous equation estimation methods have some desirable asymptotic properties and these properties become effective in large samples. This study is relevant since samples available to researchers are mostly small in practice and are often plagued
Specification Test Based on the HansenJagannathan Distance with Good Small Sample Properties
, 2006
"... Jagannthan andWang (1996) derive the asymptotic distribution of the HansenJagannathan distance (HJdistance) proposed by Hansen and Jagannathan (1997) and develop a specification test of asset pricing models based on the HJdistance. While the HJdistance has several desirable properties, Ahn and ..."
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and Gadarowski (2004) find that the specification test based on the HJdistance overrejects correct models too severely in commonly used sample size to provide a valid test. This paper proposes to improve the small sample properties of the HJdistance by applying the shrinkage method (Ledoit and Wolf, 2003
ON SMALL SAMPLE PROPERTIES OF PERMUTATION TESTS: A SIGNIFICANCE TEST FOR REGRESSION MODELS*
"... In this paper, we consider a nonparametric permutation test on the correlation coefficient, which is applied to a significance test on regression coefficients. Because the permutation test is very computerintensive, there are few studies on smallsample properties, although we have numerous studies ..."
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In this paper, we consider a nonparametric permutation test on the correlation coefficient, which is applied to a significance test on regression coefficients. Because the permutation test is very computerintensive, there are few studies on smallsample properties, although we have numerous studies
SMALLSAMPLE PROPERTIES OF A FAMILY OF NONPARAMETRIC PARTIAL CORRELATION MEASURES
, 1981
"... Quade (1974) proposed a family of correlation measures of the where R is the number of relevant pairs and C R and DR are the numbers of these which are concordant and discordant, respectively. We have investigated smallsample properties of T, the sample index of matched correlation; of three method ..."
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Quade (1974) proposed a family of correlation measures of the where R is the number of relevant pairs and C R and DR are the numbers of these which are concordant and discordant, respectively. We have investigated smallsample properties of T, the sample index of matched correlation; of three
Results 1  10
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4,309,244