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[下载]Lecture Notes: Bootstrap Methods in Econometrics: Theory and Numerical Perfo [分享]

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hanszhu 发表于 2005-1-12 06:51:00 |显示全部楼层
Abstract The bootstrap is a method for estimating the distribution of an estimator or test statistic by resampling one's data. It amounts to treating the data as if they were the population for the purpose of evaluating the distribution of interest. Under mild regularity conditions, the bootstrap yields an approximation to the distribution of an estimator or test statistic that is at least as accurate as the approximation obtained from first-order asymptotic theory. Thus, the bootstrap provides a way to substitute computation for mathematical analysis if calculating the asymptotic distribution of an estimator or statistic is difficult. The maximum score estimator Manski (1975, 1985), the statistic developed by Ha..rdle et al. (1991) for testing positive- definiteness of income-effect matrices, and certain functions of time- series data (Blanchard and Quah 1989, Runkle 1987, West 1990) are examples in which evaluating the asymptotic distribution is difficult and bootstrapping has been used as an alternative.1 In fact, the bootstrap is often more accurate in finite samples than first-order asymptotic approximations but does not entail the algebraic complexity of higher-order expansions. Thus, it can provide a practical method for improving upon first-order approximations. First-order asymptotic theory often gives a poor approximation to the distributions of test statistics with the sample sizes available in applications. As a result, the nominal levels of tests based on asymptotic critical values can be very different from the true levels. The information matrix test of White(1982) is a well-known example of a test in which large finite- sample distortions of level can occur when asymptotic critical values are used (Horowitz 1994, Kennan and Neumann 1988, Orme 1990, Taylor 1987). Other illustrations are given later in this chapter. The bootstrap often provides a tractable way to reduce or eliminate finite- sample distortions of the levels of statistical tests. 7645.rar (114.92 KB, 需要: 5 个论坛币)
关键词:econometrics Econometric Numerical Bootstrap Bootstra Theory econometrics notes Lecture Bootstrap

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admin 发表于 2005-1-12 07:06:00 |显示全部楼层
楼主积分、金钱各+100,感谢上传
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hanszhu 发表于 2005-1-12 07:55:00 |显示全部楼层
Thanks 乐天居士 for your kindness!!!!
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wandering1768 发表于 2009-6-22 13:54:25 |显示全部楼层
终于又见收费下载帖 哦也~
弃我去者 昨日之日不可留
乱我心者 今日之日多烦忧
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abaobao 发表于 2009-11-4 13:42:18 |显示全部楼层
非常感谢楼主分享
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applepie001 发表于 2010-2-19 23:10:40 |显示全部楼层
收费哦... 要是能富点就好啦 感觉应该是有内容可以学习的
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melodymmm 发表于 2010-5-14 21:45:29 |显示全部楼层
我就差一点点
希望
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raiman 发表于 2011-3-16 00:36:27 |显示全部楼层
里面的公式符号似乎很凌乱!不建议下
一天12个小时,一周6天半!
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bingyang1008 发表于 2011-3-27 10:39:01 |显示全部楼层
感谢分享!
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nowdigi 发表于 2011-6-13 06:29:55 |显示全部楼层
bootstrap is good
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