1、https://bbs.pinggu.org/thread-245644-1-1.html
Monte Carlo Program for OLS and GLS under Autocorrelation: AR(1)建议:会的话可以不下,有的话可以不下。来源:PREPARED BY S.C. AHN
2、https://bbs.pinggu.org/thread-245617-1-1.html
Bootstrap OLS,Data generation under Weak Ideal Conditions
Regressors are stochastic.The errors are different across different data sets.
Errors are non-normal: Chi-square(2)-2建议:如果有的话可以不下,会的话可以不下。来源:PREPARED BY S.C. AHN
3、https://bbs.pinggu.org/thread-245606-1-1.html
pdf里介绍BOOTSTRAP的基本原理以及gauss code。两个程序:程序1:ASYMPTOTIC WALD TEST和BOOTSTRAP WALD TEST的比较。程序2:REJECTION RATE OF ASYMPTOTIC WALD TEST和BOOTSTRAP WALD TEST建议:会的话可以不下,有的话可以不下。来源:PREPARED BY S.C. AHN
4、https://bbs.pinggu.org/thread-245590-1-1.html
Monte Carlo simulation evidence of coverage rates of confidence intervals constructed using chi-square asymptotics, Efron's percentile, Hall's percentile, percentile-t (equal-tailed) and percentile-t (symmetric) bootstrap methods pdf里介绍OLS和GMM估计方法,置信区间等等。建议:如果有的话可以不下,会的话可以不下。来源:Econ 681, Fall 2005 Department of Economics, Concordia University
5、https://bbs.pinggu.org/thread-221720-1-1.html
同质面板单位根检验Peter C.B. Phillips and Donggyu Sul, Econometrics Journal 2003, Vol 6. pp 217?60程序1、Monte Carlo Study Gauss Code for Homogeneity Test "Dynamic Panel Estimation and Homogeneity Testing Under
Cross Section Dependence程序2、Procedure for panel unit root test for "Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence"。
6、https://bbs.pinggu.org/thread-221717-1-1.html
7、https://bbs.pinggu.org/thread-193505-1-1.html
Monte Carlo Simulations
Monte Carlo experiments are powerful techniques very often used in applied econometric analyses
to asses the small sample behavior of estimator and test statistics. A Monte Carlo experiment
consists in di¤erent parts.
1. De…ne the issue to analyze
2. The data generating process (DGP) where your develop your known process
3. Generating numbers at random
4. Estimation and test statistics for one replication of the loop. Use of procedures
5. Storage and computation of summary statistics over the M replications
To illustrate these di¤erent steps, let us consider the relationship between two independent random
walks (with drifts). Engle and Granger (1987) and Phillips (1996) show that if we regress these
variables on each other, there is a tendency to obtain spurious regressions. This phenomenon is
characterized by values of t ratios for which we would reject the null hypothesis of no
relationships at any sensible signi…cance levels. Moreover the R2 are high because of the common
stochastic trends.
For the data generating process (DGP), let us generate the following independent bivariate process
8、https://bbs.pinggu.org/thread-193310-1-1.html
1、notes on monte carlo, bootstrapping and estimation by simulation2、Monte Carlo Methods3、 Bootstrapping。
我这里还有其他的,会继续贴上