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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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A simple two-step method for testing moment inequalities with an application to inference in partially identified models
Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - 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/10010316942
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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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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
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Finite-Sample Stability of the KPSS Test
Jönsson, Kristian - 2006
implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically … in the current paper, it turns out that using the Bartlett kernel in the long-run variance estimation renders the most …
Persistent link: https://www.econbiz.de/10013208507
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Fund-of-Funds Construction by Statistical MultipleTesting Methods
Wolf, Michael; Wunderli, Dan - National Centre of Competence in ResearchFinancial … - 2009
Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number ofhedge funds from a large universe of candidate funds. We analyse whether such a selectioncan be successfully achieved by looking at the track records of the available funds alone,using advanced statistical...
Persistent link: https://www.econbiz.de/10005868542
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Testing for skewness in AR conditional volatility models for financial return series
Mantalos, Panagiotis; Karagrigoriou, Alex - 2012
In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to...
Persistent link: https://www.econbiz.de/10012654374
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Serial Correlation in Contingency Tables
Elsinger, Helmut - 2020
Pearson's chi-squared test for independence in two-way contingency tables is developed under the assumption of multinomial sampling. In this paper I consider the case where draws are not independent but exhibit serial dependence. I derive the asymptotic distribution and show that adjusting...
Persistent link: https://www.econbiz.de/10013370145
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A test of the conditional independence assumption in sample selection models
Huber, Martin; Melly, Blaise - 2012
Identification in most sample selection models depends on the independence of the regressors and the error terms conditional on the selection probability. All quantile and mean functions are parallel in these models; this implies that quantile estimators cannot reveal any - per assumption...
Persistent link: https://www.econbiz.de/10010420259
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Multiple testing of one-sided hypotheses: Combining Bonferroni and the bootstrap
Romano, Joseph P.; Wolf, Michael - 2017
-sided. In such problems, power gains can be obtained for bootstrap multiple testing procedures in scenarios where some of the …
Persistent link: https://www.econbiz.de/10011784290