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Is momentum due to data-snooping?
Ericsson, Johan; González, Andrés - 2003
This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...
Persistent link: https://www.econbiz.de/10010281287
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Testing the unit root hypothesis against the logistic smooth transition autoregressive model
Eklund, Bruno - 2003
autoregressive model. Due to occasional size distortion in small samples, a simple bootstrap method is proposed for estimating the p …
Persistent link: https://www.econbiz.de/10010281347
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A nonlinear alternative to the unit root hypothesis
Eklund, Bruno - 2003
simulations show some size distortions, why a bootstrap method for estimating p-values to the tests are considered. Power …
Persistent link: https://www.econbiz.de/10010281382
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Testing the unit root hypothesis against the logistic smooth transition autoregressive model
Eklund, Bruno - Economics Institute for Research (SIR), … - 2003
autoregressive model. Due to occasional size distortion in small samples, a simple bootstrap method is proposed for estimating the p …
Persistent link: https://www.econbiz.de/10005207178
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A Normality Test for the Mean Estimator
Andersson, Michael K. - Economics Institute for Research (SIR), … - 1999
This note proposes a tool to investigate and demonstrate the adequacy of the central limit theorem in small samples. The suggested testing procedure provides a method to investigate if the mean estimator is approximately normally distributed, given data and sample size at hand. This is important...
Persistent link: https://www.econbiz.de/10005207190
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An ARCH Robust STAR Test
Andersson, Michael K.; Eklund, Bruno; Lyhagen, Johan - Economics Institute for Research (SIR), … - 1999
heteroskedasticity. In order to correct the test we propose a parametric bootstrap. It is shown, by means of Monte Carlo methods, that … the bootstrap test is almost exact. …
Persistent link: https://www.econbiz.de/10005207191
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Is Momentum Due to Data-Snooping?
Ericsson, Johan; González, Andrés - Economics Institute for Research (SIR), … - 2003
This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...
Persistent link: https://www.econbiz.de/10005190897
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Bootstrapping DEA-based Efficiency Measures and Malmquist Productivity Indices. A Study of Swedish Eye-Care Service Provision
Löthgren, Mickael; Tambour, Magnus - Economics Institute for Research (SIR), … - 1995
The purpose of this paper is to use the bootstrap resampling technique to calculate confidence intervals for efficiency … programming models using primal production data. The bootstrap procedure is applied on a sample of Swedish eye-care departments …
Persistent link: https://www.econbiz.de/10005423888
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Testing for Independence in Multivariate Duration Models
Söderberg, Hans; Lyhagen, Johan - Economics Institute for Research (SIR), … - 1999
deviate from the anticipated asymptotic one. However, by applying bootstrap methods it seems that proper critical values can …
Persistent link: https://www.econbiz.de/10005649119
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A nonlinear alternative to the unit root hypothesis
Eklund, Bruno - Economics Institute for Research (SIR), … - 2003
simulations show some size distortions, why a bootstrap method for estimating p-values to the tests are considered. Power …
Persistent link: https://www.econbiz.de/10005649224