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Bootstrap Inference of Level Relationships in the Presence of Serially Correlated Errors: A Large Scale Simulation Study and an Application in Energy Demand

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dc.contributor.author Yalta, Abdullah Talha
dc.date.accessioned 2019-05-23T05:53:21Z
dc.date.available 2019-05-23T05:53:21Z
dc.date.issued 2016-08
dc.identifier.citation Yalta, A. T. (2016). Bootstrap inference of level relationships in the presence of serially correlated errors: a large scale simulation study and an application in energy demand. Computational Economics, 48(2), 339-366. en_US
dc.identifier.issn 0927-7099
dc.identifier.other number of pages 28
dc.identifier.uri https://doi.org/10.1007/s10614-015-9530-7
dc.identifier.uri http://hdl.handle.net/20.500.11851/1100
dc.description.abstract By undertaking a large scale simulation study, we demonstrate that the maximum entropy bootstrap (meboot) data generation process can provide accurate and narrow parameter confidence intervals in models with combinations of stationary and nonstationary variables, under both low and high degrees of autocorrelation. The relatively small sample sizes in which meboot performs particularly well make it a useful tool for rolling window estimation. As a case study, we analyze the evolution of the price and income elasticities of import demand for crude oil in Turkey by using quarterly data between 1996-2011. Our approach can be employed to tackle a wide range of macroeconometric estimation problems where small sample sizes are a common issue. en_US
dc.language.iso eng en_US
dc.publisher Springer en_US
dc.rights info:eu-repo/semantics/closedAccess
dc.subject oil demand en_US
dc.subject bootstrap en_US
dc.subject simulation en_US
dc.subject rolling windows en_US
dc.subject meboot en_US
dc.title Bootstrap Inference of Level Relationships in the Presence of Serially Correlated Errors: A Large Scale Simulation Study and an Application in Energy Demand en_US
dc.type article en_US
dc.relation.journal Computational Economics en_US
dc.contributor.department TOBB ETU, Faculty of Economics and Administrative Sciences, Department of Economics en_US
dc.contributor.department TOBB ETÜ, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü tr_TR
dc.identifier.volume 48
dc.identifier.issue 2
dc.identifier.startpage 339
dc.identifier.endpage 366
dc.contributor.orcid https://orcid.org/0000-0003-2660-1480
dc.identifier.wos WOS:000379625200008
dc.identifier.scopus 2-s2.0-84945152293
dc.contributor.tobbetuauthor Yalta, Abdullah Talha
dc.identifier.doi 10.1007/s10614-015-9530-7
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı tr_TR


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