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Sequential elimination: Fast sorts for unbiased quantile estimation

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  • Palandri, Alessandro

Abstract

Sequential Elimination (S.E.) is a simple approach, based on standard algorithms, to the sorting of large dimensional arrays for the estimation of quantiles of unknown distributions. Sorting on sub-arrays and eliminating elements outside properly constructed intervals, S.E. is faster than available alternatives and produces unbiased, consistent and efficient estimates. S.E. is used to tabulate critical values for ADF and conditional EG from 1010 simulations for the testing of unit-roots and no-cointegration, respectively. The new critical values are applied to the testing of the presence of rational bubbles in the U.S. stock market.

Suggested Citation

  • Palandri, Alessandro, 2020. "Sequential elimination: Fast sorts for unbiased quantile estimation," Finance Research Letters, Elsevier, vol. 33(C).
    • Handle: RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318303702
    DOI: 10.1016/j.frl.2019.05.007
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    References listed on IDEAS

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    1. Brooks, C. & Clare, A.D. & Dalle Molle, J.W. & Persand, G., 2005. "A comparison of extreme value theory approaches for determining value at risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 339-352, March.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
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    More about this item

    Keywords

    Quantile estimation; Simulated critical values; Sorting algorithms; Unbiased estimator; Efficient estimator;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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