A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model

In this paper we propose a bootstrap version of the Wald test for cointegration in a single-equation conditional error correction model. The multivariate sieve bootstrap is used to deal with dependence in the series. We show that the introduced bootstrap test is asymptotically valid.We also analyze the small sample properties of our test by simulation and compare it with the asymptotic test and several alternative bootstrap tests. The bootstrap test offers significant improvements in terms of size properties over the asymptotic test, while having similar power properties. It also performs at least as well as the alternative bootstrap tests considered in terms of size and power.The sensitivity of the bootstrap test to the allowance for deterministic components is also investigated. Simulation results show that the tests with sufficient deterministic componentsincluded are insensitive to the true value of the trends in the model, and retain correct size.econometrics;

Statistical inference for semiparametric varying-coefficient partially linear models with error-prone linear covariates

We study semiparametric varying-coefficient partially linear models when some linear covariates are not observed, but ancillary variables are available. Semiparametric profile least-square based estimation procedures are developed for parametric and nonparametric components after we calibrate the error-prone covariates. Asymptotic properties of the proposed estimators are established. We also propose the profile least-square based ratio test and Wald test to identify significant parametric and nonparametric components. To improve accuracy of the proposed tests for small or moderate sample sizes, a wild bootstrap version is also proposed to calculate the critical values. Intensive simulation experiments are conducted to illustrate the proposed approaches.Comment: Published in at http://dx.doi.org/10.1214/07-AOS561 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Heteroscedastic semiparametric transformation models: estimation and testing for validity

In this paper we consider a heteroscedastic transformation model, where the transformation belongs to a parametric family of monotone transformations, the regression and variance function are modelled nonparametrically and the error is independent of the multidimensional covariates. In this model, we first consider the estimation of the unknown components of the model, namely the transformation parameter, regression and variance function and the distribution of the error. We show the asymptotic normality of the proposed estimators. Second, we propose tests for the validity of the model, and establish the limiting distribution of the test statistics under the null hypothesis. A bootstrap procedure is proposed to approximate the critical values of the tests. Finally, we carry out a simulation study to verify the small sample behavior of the proposed estimators and tests.Comment: 33 pages, 1 figur

Efficient Measurement Error Correction with Spatially Misaligned Data

Association studies in environmental statistics often involve exposure and outcome data that are misaligned in space. A common strategy is to employ a spatial model such as universal kriging to predict exposures at locations with outcome data and then estimate a regression parameter of interest using the predicted exposures. This results in measurement error because the predicted exposures do not correspond exactly to the true values. We characterize the measurement error by decomposing it into Berkson-like and classical-like components. One correction approach is the parametric bootstrap, which is effective but computationally intensive since it requires solving a nonlinear optimization problem for the exposure model parameters in each bootstrap sample. We propose a less computationally intensive alternative termed the ``parameter bootstrap\u27\u27 that only requires solving one nonlinear optimization problem, and we also compare bootstrap methods to other recently proposed methods. We illustrate our methodology in simulations and with publicly available data from the Environmental Protection Agency

Discovering an active subspace in a single-diode solar cell model

Predictions from science and engineering models depend on the values of the model's input parameters. As the number of parameters increases, algorithmic parameter studies like optimization or uncertainty quantification require many more model evaluations. One way to combat this curse of dimensionality is to seek an alternative parameterization with fewer variables that produces comparable predictions. The active subspace is a low-dimensional linear subspace defined by important directions in the model's input space; input perturbations along these directions change the model's prediction more, on average, than perturbations orthogonal to the important directions. We describe a method for checking if a model admits an exploitable active subspace, and we apply this method to a single-diode solar cell model with five input parameters. We find that the maximum power of the solar cell has a dominant one-dimensional active subspace, which enables us to perform thorough parameter studies in one dimension instead of five