A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
By R. Giacomini, Dimitris Nicolas Politis, Halbert White. Econometric Theory, 2013
221 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/3898f278bd507e7a2edef40dbf50a3e44d621563
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Citations in the corpus
- Estimation of dynamic panel threshold model using Stata (2019, unknown): “Then, introduce the GMM criterion function with a weight matrix Wn, J̄n (θ) = ḡn (θ) ′ Wnḡn (θ) , (2)”
- Robust Spectral Analysis (2011, methodology): “I used the warp-speed method of Giacomini, Politis, and White (2007) to estimate size and power of the bootstrap test; this method considerably sped up the simulations because only one bootstrap replication per Monte Carlo replication was needed.”
- Robust inference for threshold regression models (2017, unknown): “This is the case because dropping in K1 the assumption of 2 6= 0 and letting 2 = 3 = 0, the numerator in (16) will be 4 2 3a 4 @ 2 @q2 (f (0) g0 (0)) (1 + op (1)) , whereas the denominator in (16) becomes 4 2 3a 4 @ 2 @q2 (f (0) g⇤ 0 (0)) (1 + op (1)) .”