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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
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A joint specification test for response probabilities in unordered multinomial choice models
Iwasawa, Masamune - In: Econometrics : open access journal 3 (2015) 3, pp. 667-697
Estimation results obtained by parametric models may be seriously misleading when the model is misspecified or poorly approximates the true model. This study proposes a test that jointly tests the specifications of multiple response probabilities in unordered multinomial choice models. The test...
Persistent link: https://www.econbiz.de/10011410669
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Nonparametric Inferences on Conditional Quantile Processes
Goh, Chuan - 2007
This paper is concerned with tests of restrictions on the sample path of conditional quantile processes. These tests are tantamount to assessments of lack of fit for models of conditional quantile functions or more generally as tests of how certain covariates affect the distribution of an...
Persistent link: https://www.econbiz.de/10012731947
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Improved inference on the rank of a matrix
Chen, Qihui; Fang, Zheng - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1787-1824
This paper develops a general framework for conducting inference on the rank of an unknown matrix Π0. A defining feature of our setup is the null hypothesis of the form . The problem is of first‐order importance because the previous literature focuses on by implicitly assuming away , which...
Persistent link: https://www.econbiz.de/10012202917
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Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests
Camponovo, Lorenzo - 2011
We introduce a nonparametric block bootstrap approach for Quasi-Likelihood Ratio type tests of nonlinear restrictions. Our method applies to extremum estimators, such as quasi-maximum likelihood and generalized method of moments estimators. Unlike existing parametric bootstrap procedures for...
Persistent link: https://www.econbiz.de/10014178027
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Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model
Gürtler, Marc; Rauh, Ronald - 2009 - This Version: 2009-09-09
A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...
Persistent link: https://www.econbiz.de/10009487233
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Detecting serial dependence in tail events
Diks, Cees G. H. - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10011327543
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Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-Stationary Return Series Model
Gürtler, Marc - 2009
In this paper we first investigate the validity of a general Value at Risk approach, which is widely used for risk management in banking and insurance companies. We discuss and widely reject the conventional assumptions, e.g. independent identically distributed normal returns, and as consequence...
Persistent link: https://www.econbiz.de/10013159079
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Nonparametric Tests of Conditional Independence for Time Series
Song, Xiaojun; Wei, Haoyu - 2021
We propose consistent nonparametric tests of conditional independence for time series data. Our methods are motivated from the difference between joint conditional cumulative distribution function (CDF) and the product of conditional CDFs. The difference is transformed into a proper conditional...
Persistent link: https://www.econbiz.de/10013324332
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Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter; Zu, Yang - 2019
This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional cointegration tests,...
Persistent link: https://www.econbiz.de/10012026102