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Wolf, Michael
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ECONIS (ZBW)
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The Romano-Wolf multiple hypothesis correction in Stata
Clarke, Damian
;
Romano, Joseph P.
;
Wolf, Michael
-
2019
statistics by
resampling
from the original data. We describe a Stata command rwolf that implements this correction, and provide a …
Persistent link: https://www.econbiz.de/10012147332
Saved in:
2
Hypothesis Testing in Econometrics
Romano, Joseph P.
;
Shaikh, Azeem M.
;
Wolf, Michael
-
National Centre of Competence in ResearchFinancial …
-
2009
mostimportant methods are summarized, as well as
resampling
methodology which is useful toset critical values. Finally, we consider …
Persistent link: https://www.econbiz.de/10005868540
Saved in:
3
Efficient computation of adjusted p-values for
resampling
-based stepdown multiple testing
Romano, Joseph P.
;
Wolf, Michael
-
2016
There has been a recent interest in reporting p-values adjusted for
resampling
-based stepdown multiple testing …
Persistent link: https://www.econbiz.de/10011432996
Saved in:
4
Balanced bootstrap joint confidence bands for structural impulse response functions
Bruder, Stefan
;
Wolf, Michael
-
2017
Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task because of the non-linear nature of such functions. We propose new joint confidence bands that cover the entire true structural impulse response function up to a chosen maximum...
Persistent link: https://www.econbiz.de/10011630774
Saved in:
5
Balanced bootstrap joint confidence bands for structural impulse response functions
Bruder, Stefan
;
Wolf, Michael
-
2018
-
This version: January 2018
Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task because of the non-linear nature of such functions. We propose new joint confidence bands that cover the entire true structural impulse response function up to a chosen maximum...
Persistent link: https://www.econbiz.de/10011729041
Saved in:
6
Fund-of-Funds Construction by Statistical Multiple Testing Methods
Wolf, Michael
;
Wunderli, Dan
-
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/10014203754
Saved in:
7
The Romano-Wolf Multiple Hypothesis Correction in Stata
Clarke, Damian
;
Romano, Joseph P.
;
Wolf, Michael
-
2019
statistics by
resampling
from the original data. We describe a Stata command rwolf that implements this correction, and provide a …
Persistent link: https://www.econbiz.de/10012180038
Saved in:
8
The Romano-Wolf Multiple Hypothesis Correction in Stata
Clarke, Damian
-
2020
statistics by
resampling
from the original data. We describe a Stata command rwolf that implements this correction, and provide a …
Persistent link: https://www.econbiz.de/10012844826
Saved in:
9
Subsampling inference in threshold autoregressive models
Gonzalo, Jesús
;
Wolf, Michael
-
Department of Economics and Business, Universitat …
-
2001
This paper discusses inference in self exciting threshold autoregressive (SETAR) models. Of main interest is inference for the threshold parameter. It is well-known that the asymptotics of the corresponding estimator depend upon whether the SETAR model is continuous or not. In the continuous...
Persistent link: https://www.econbiz.de/10005827465
Saved in:
10
Efficient computation of adjusted p-values for
resampling
-based stepdown multiple testing
Romano, Joseph P.
;
Wolf, Michael
-
2016
There has been a recent interest in reporting p-values adjusted for
resampling
-based stepdown multiple testing …
Persistent link: https://www.econbiz.de/10011663178
Saved in:
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