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Activity Number: 427
Type: Contributed
Date/Time: Tuesday, August 11, 2015 : 2:00 PM to 3:50 PM
Sponsor: Section on Nonparametric Statistics
Abstract #316172 View Presentation
Title: Significance Testing in Nonparametric Multiplicative Error Models Based on the Bootstrap
Author(s): Shuo Li* and Xiaojun Song and Yundong Tu
Companies: Guanghua School of Management, Peking University and Guanghua School of Management, Peking University and Guanghua School of Management, Peking University
Keywords: multiplicative error models ; significance testing ; bootstrap
Abstract:

This paper develops a new test for selecting explanatory variables in the conditional mean of multiplicative error models. The test does not need to estimate the conditional expectation given all the variables, but only those which are significant under the null hypothesis. For implementation, we propose the bootstrap version of the tests and justify their validity formally. Simulation studies show that the prorposed tests have nice performance even for a small sample size.

Authors who are presenting talks have a * after their name.

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