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Consistent pretesting for jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10011396835
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Testing exogeneity under distributional misspecification
de Luna, Xavier; Johansson, Per - 2001
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...
Persistent link: https://www.econbiz.de/10010321023
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On the Hansen-Jagannathan distance with a no-arbitrage constraint
Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2010
We provide an in-depth analysis of the theoretical and statistical properties of the Hansen-Jagannathan (HJ) distance that incorporates a no-arbitrage constraint. We show that for stochastic discount factors (SDF) that are spanned by the returns on the test assets, testing the equality of HJ...
Persistent link: https://www.econbiz.de/10010292304
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Improving weighted least squares inference
DiCiccio, Cyrus J.; Romano, Joseph P.; Wolf, Michael - 2016
shown that a bootstrap approximation to the sampling distribution of the weighted least squares estimate is valid, which …-sample properties of this new estimator as well as the improvements in performance realized by bootstrap confidence intervals. …
Persistent link: https://www.econbiz.de/10011663191
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Balanced bootstrap joint confidence bands for structural impulse response functions
Bruder, Stefan; Wolf, Michael - 2017
asymptotically. Such bands are based on a certain bootstrap procedure from the multiple-testing literature. We compare the finite … endogenizing the lag order in our bootstrap procedure on the finite-sample properties. Furthermore, an empirical application to a …
Persistent link: https://www.econbiz.de/10011663204
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Inference for structural impulse responses in SVAR-GARCH models
Bruder, Stefan - 2018
heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the … finite-sample properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo …
Persistent link: https://www.econbiz.de/10011969192
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Robust performance hypothesis testing with smooth functions of population moments
Ledoit, Olivier; Wolf, Michael - 2018
tails and time dependence in the return data. In particular, we will promote a studentized time series bootstrap procedure …
Persistent link: https://www.econbiz.de/10011969216
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Bootstrap Improved Inference for Factor-Augmented Regressions with CCE
De Vos, Ignace; Stauskas, Ovidijus - 2021
. In response, we provide in this paper the theoretical foundation for the cross-section, or pairs bootstrap in large N and …
Persistent link: https://www.econbiz.de/10013208907
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A practical two-step method for testing moment inequalities
Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - 2014
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/10011282464
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Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping
Davidson, Russel; Monticini, Andrea - 2014
disturbances,where the heteroskedasticity and autocorrelation are of unknown form. A particular version of the wild bootstrap can … dependent wild bootstrap. Here, we extend this new method, and link it to the well-known HAC covariance estimator, in much the … same way as one can link the wild bootstrap to the HCCME. It works very well even with sample sizes smaller than 50, and …
Persistent link: https://www.econbiz.de/10011739586