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Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to … applications. This renders inference based on standard resampling methods useless already in simple estimation and testing settings …. To solve this problem, we introduce a robust fast resampling scheme that is applicable to a wide class of time series …

Persistent link: https://www.econbiz.de/10003971115

Testing for equality between two copulas

Remillard, Bruno (contributor); … - 2007

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Crameacute;r-von Mises test statistic. Finite sample properties...

Persistent link: https://www.econbiz.de/10003550857

Robust subsampling

Camponovo, Lorenzo (contributor); … - 2006

We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even if they are applied to robust...

Persistent link: https://www.econbiz.de/10003394379

A specification test for nonparametric instrumental variable regression

Gagliardini, Patrick (contributor); … - 2007

We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...

Persistent link: https://www.econbiz.de/10003550675

A bootstrap test for the comparison of nonlinear time series : with application to interest rate modelling

Dette, Holger (contributor); Weißbach, Rafael (contributor) - 2006

We study the drift of stationary diffusion processes in a time series analysis of the autoregression function. A marked empirical process measures the difference between the nonparametric regression functions of two time series. We bootstrap the distribution of a Kolmogorov-Smirnov-type test...

Persistent link: https://www.econbiz.de/10003355165

Testing for symmetry and conditional symmetry using asymmetric kernels

Fernandes, Marcelo; Mendes, Eduardo F.; Scaillet, Olivier - 2011

We derive nonparametric tests of symmetry using asymmetric kernels with either shrinking or fixed bandwidths. We show how to extend the approach to examine conditional symmetry by deriving conditions under which our tests are applicable to residuals from semiparametric models with a...

Persistent link: https://www.econbiz.de/10009295709

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

An objective function for simulation based inference on exchange rate data

Winker, Peter (contributor); Gilli, Manfred (contributor); … - 2007

The assessment of models of financial market behavior requires evaluation tools. When complexity hinders a direct estimation approach, e.g., for agent based microsimulation models or complex multifractal models, simulation based estimators might provide an alternative. In order to apply such...

Persistent link: https://www.econbiz.de/10003548061

Cross-country efficiency of secondary education provision : a semi-parametric analysis with non-discretionary inputs

Afonso, António; St. Aubyn, Miguel - In: Economic modelling 23 (2006) 3, pp. 476-491

Persistent link: https://www.econbiz.de/10003333378

On optimal spatial subsample size for variance estimation

Nordman, Daniel J.; Lahiri, Soumendra N. - 2002

In this paper, we consider the problem of determining the optimal block size for a spatial subsampling method for spatial processes observed on regular grids. We derive expansions for the mean square error of the subsampling variance estimator, which yields an expression for the theoretical...

Persistent link: https://www.econbiz.de/10009770911