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Commuters' Preferences for Fast and Reliable Travel
Koster, Paul; Koster, Hans - Tinbergen Instituut - 2013
We employ a semi-parametric estimation approach to analyse observed and unobserved heterogeneity in the value of … heterogeneity in preferences in a flexible way, meaning that we do not put any structure on how individual characteristics (such as …, we illustrate the estimation approach and find that there is substantial heterogeneity in the value of savings in travel …
Persistent link: https://www.econbiz.de/10011271951
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A K-sample Homogeneity Test based on the Quantification of the p-p Plot
Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - Tinbergen Instituut - 2008
We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...
Persistent link: https://www.econbiz.de/10011255562
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>
Persistent link: https://www.econbiz.de/10011256012
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Controlling the danger of false discoveries in estimating multiple treatment effects
Wunderli, Dan - Institut für Volkswirtschaftslehre, … - 2012
I expose the risk of false discoveries in the context of multiple treatment effects. A false discovery is a nonexistent effect that is falsely labeled as statistically significant by its individual t-value. Labeling nonexistent effects as statistically significant has wide-ranging academic and...
Persistent link: https://www.econbiz.de/10010604133
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Fund-of-funds construction by statistical multiple testing methods
Wolf, Michael; Wunderli, Dan - Institut für Volkswirtschaftslehre, … - 2009
Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number of hedge funds from a large universe of candidate funds. We analyse whether such a selection can be successfully achieved by looking at the track records of the available funds alone, using advanced statistical...
Persistent link: https://www.econbiz.de/10008528448
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Consonance and the closure method in multiple testing
Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2009
Consider the problem of testing s hypotheses simultaneously. In order to deal with the multiplicity problem, the classical approach is to restrict attention to procedures that control the familywise error rate (FWE). Typically, it is known how to construct tests of the individual hypotheses, and...
Persistent link: https://www.econbiz.de/10008528450
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Rate-optimal data-driven specification testing in regression models
Guerre, Emmanuel; Lavergne, Pascal - EconWPA - 2001
We propose a general procedure for testing that a regression function has a prescribed parametric form. We allow for multivariate regressors, non-normal errors and heteroscedasticity of unknown form. The test relies upon a nonparametric linear estimation method, such as a sieves expansion or the...
Persistent link: https://www.econbiz.de/10005407986
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Robust Performance Hypothesis Testing with the Sharpe Ratio
Ledoit, Oliver; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2008
Applied researchers often test for the difference of the Sharpe ratios of two investment strategies. A very popular tool to this end is the test of Jobson and Korkie (1981), which has been corrected by Memmel (2003). Unfortunately, this test is not valid when returns have tails heavier than the...
Persistent link: https://www.econbiz.de/10005585623
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A practical two-step method for testing moment inequalities
Shaikh, Azeem M.; Wolf, Michael; Romano, Joseph P. - Institut für Volkswirtschaftslehre, … - 2012
This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are “negative.” A...
Persistent link: https://www.econbiz.de/10010817265
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Robust performance hypothesis testing with the variance
Ledoit, Olivier; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2010
Applied researchers often test for the difference of the variance of two investment strategies; in particular, when the investment strategies under consideration aim to implement the global minimum variance portfolio. A popular tool to this end is the F-test for the equality of variances....
Persistent link: https://www.econbiz.de/10008679202