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| Title: | 過濾靴帶反覆抽樣與一般動差估計式
Sieve Bootstrap Inference Based on GMM Estimators of Time Series Data |
| Authors: | 劉祝安
Liu, Chu-An |
| Contributors: | 郭炳伸
林信助
Kuo, Biing-Shen
Lin, Shinn-Juh
劉祝安
Liu, Chu-An |
| Keywords: | 過濾靴帶反覆抽樣法
區塊拔靴法
一般動差估計式
時間序列資料
Sieve bootstrap
block bootstrap
GMM estimators
time series data |
| Date: | 2004 |
| Issue Date: | 2009-09-18 14:16:00 (UTC+8) |
| Abstract: | In this paper, we propose two types of sieve bootstrap, univariate and multivariate approach, for the generalized method of moments estimators of time series data. Compared with the nonparametric block bootstrap, the sieve bootstrap is in essence parametric, which helps fitting data better when researchers have prior information about the time series properties of the variables of interested. Our Monte Carlo experiments show that the performances of these two types of sieve bootstrap are comparable to the performance of the block bootstrap. Furthermore, unlike the block bootstrap, which is sensitive to the choice of block length, these two types of sieve bootstrap are less sensitive to the choice of lag length. |
| Reference: | [1] Andrews, D. W. K. (2002), “The Block-Block Bootstrap: Improved Asymptotic Refinements,” Cowles Foundation Discussion Paper No. 1370, Yale University, New Haven, CT.
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[18] Staiger, D., and J. H. Stock (1997), “Instrumental Variables Regression with Weak Instruments,” Econometrica, 65, 556-586.
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[20] Tauchen, G. (1986), “Statistical Properties of Generalized Method-of-Moments Estimators of Structure Parameters Obtained from Financial Market Data,” Journal of Business and Economic Statistics, 4, 397-425. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
91351007
93 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0913510071 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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