Bootstrapping pairs in Distance-Based Regression
AbstractDistance-based regression is a prediction method consisting of two steps: from distances between observations we obtain latent variables which, in turn, are the regressors in an ordinary least squares linear model. Distances are computed from actually observed predictors by means of a suitable dissimilarity function. Being in general nonlinearly related with the response their selection by the usual F tests is unavailable. In this paper we propose a solution to this predictor selection problem, by defining generalized test statistics and adapting a non-parametric bootstrap method to estimate their p-values. We include a numerical example with automobile insurance data.
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Bibliographic InfoPaper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 154.
Length: 22 pages
Date of creation: 2006
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Find related papers by JEL classification:
- C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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- J. Gower & P. Legendre, 1986. "Metric and Euclidean properties of dissimilarity coefficients," Journal of Classification, Springer, vol. 3(1), pages 5-48, March.
- Flachaire, Emmanuel, 1999.
"A better way to bootstrap pairs,"
Elsevier, vol. 64(3), pages 257-262, September.
- repec:fth:louvco:9924 is not listed on IDEAS
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