Higher order properties of the wild bootstrap under misspecification

We examine the higher order properties of the wild bootstrap (Wu, 1986) in a linear regression model with stochastic regressors. We find that the ability of the wild bootstrap to provide a higher order refinement is contingent upon whether the errors are mean independent of the regressors or merely uncorrelated with them. In the latter case, the wild bootstrap may fail to match some of the terms in an Edgeworth expansion of the full sample test statistic. Nonetheless, we show that the wild bootstrap still has a lower maximal asymptotic risk as an estimator of the true distribution than a normal approximation, in shrinking neighborhoods of properly specified models. To assess the practical implications of this result we conduct a Monte Carlo study contrasting the performance of the wild bootstrap with a normal approximation and the traditional nonparametric bootstrap.     

Further simulation evidence on the performance of the Poisson pseudo-maximum likelihood estimator

We extend the simulation results in Santos Silva and Tenreyro (2006, The log of gravity, The Review of Economics and Statistics, 88, 641-658) by considering a novel data-generating process. Our results confirm that the Poisson pseudo-maximum likelihood estimator is generally well behaved, even when the proportion of zeros in the sample is very large.     

峰会商务 领驭人生——商务笔记本旗舰打造完美商务应用

高端商用笔记本市场一直走在业界前列,凭借出色的移动办公性能以及尊贵气质与卓越才能受到了众多成功商务人士的青睐HP Compaq nc6400强势登陆中国市场日前,HP推出了一款全新的高端商务笔记本电脑——HP Compaq nc6400受到业界的广泛关注。作为HP移动商务旗舰机型nc6230产品的升级产品,     

治疗肥胖的新方法

对付伴随现代工业社会产生的营养过剩和长期缺少活动的生活方式所造成的肥胖,并使他们摆脱饥饿的欲望,看起来是医学研究者们有史以来面对的最困难的任务之一。     

The value of money in a dynamic equilibrium model

Summary. This paper studies the pricing of money in an infinite-horizon economy with heterogeneous agents, incomplete financial markets and arbitrary borrowing restrictions. Purchases of the consumption good are subject to a cash-in-advance constraint. Under general conditions I show that the price of money is equal to its fundamental value, where this value is defined over all state-price processes that are compatible with the existence of no-arbitrage opportunities. This equality implies that the cash-in-advance constraint is binding infinitely often for all agents in the economy. The analysis highlights certain differences in the determination of the price of money with respect to models with money in the utility function that bear on the optimal implementation of economic policies.Received: 23 October 2003, Revised: 26 August 2004 JEL Classification Numbers: D52, E44, G12.M.S. Santos: This paper is an outgrowth of an earlier collaboration with Michael Woodford. I have also benefitted from various discussions with Eduardo Gimenez, Alejandro Hernandez, and Miguel Iraola. Some very useful comments by an anonymous referee are greatly appreciated.