Browsing by Subject "Monte Carlo"

Now showing 1 - 3 of 3

Open Access
Bootstrap and its application: theory and evidence
(1995) Tire, Mustafa Cenk
This thesis mainly discusses the theory and applications of an estimation technique called Bootstrap. The first part of the thesis focuses on the accuracy of Bootstrap in density estimation by comparing Bootstrap with another estimation technique called Normal approximation based on central limit theorem. The theoretical analysis on this issue shows that Bootstrap is always, at least as good as, and in some cases better than, the Normal approximation. This analysis has been supported by empirical analysis. Later parts of the thesis are devoted to the applications of Bootstrap. Two examples for these applications. Bootstrapping F-test in dynamic models and using Bootstrap in common factor restrictions have been extensively discussed. The performance of Bootstrap has been investigated separately and interpreted precisely. Bootstrap has worked well in F-test application, but it has been dominated by other tests such as Likelihood Ratio test, Wald test; in common factor restrictions.
Open Access
Geometric random inner product test and randomness of π
(World Scientific Publishing Co. Pte. Ltd., 2009) Sezgin, F.
The Geometric Random Inner Product (GRIP) is a recently developed test method for randomness. As a relatively new method, its properties, weaknesses, and strengths are not well documented. In this paper, we provide a rigorous discussion of what the GRIP test measures, and point out specific classes of defects that it is able to diagnose. Our findings show that the GRIP test successfully detects series that have regularities in their first- or second-order differences, such as the Weyl and nested Weyl sequences. We compare and contrast the GRIP test to some of the existing conventional methods and show that it is particularly successful in diagnosing deficient random number generators with bad lattice structures and short periods. We also present an application of the GRIP test to the decimal digits of π.
Open Access
A locally optimal seasonal unit-root test
(Taylor & Francis Inc., 1998) Caner, M.
This article proposes a locally best invariant test of the null hypothesis of seasonal stationarity against the alternative of seasonal unit roots at all or individual seasonal frequencies. An asymptotic distribution theory is derived and the finite-sample properties of the test are examined in a Monte Carlo simulation. My test is also compared with the Canova and Hansen test. The proposed test is superior to the Canova and Hansen test in terms of both size and power.