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Inference in VARs with Conditional Heteroskedasticity of Unknown Form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - Abteilung für Volkswirtschaftslehre, Universität Mannheim - 2014

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance parameter estimators and address bootstrap...

Persistent link: https://www.econbiz.de/10010986691

To converge or not converge: unit labor cost inflation in the Euro area

Herwartz, Helmut; Siedenburg, Florian - In: Empirical Economics 44 (2013) 2, pp. 455-467

In this article, convergence of unit labor cost (ULC) inflation within the Euro area is tested by means of panel unit root tests. To account for the small cross-sectional dimension, cross-sectional dependence of model innovations and time varying volatility, wild bootstrap critical values are...

Persistent link: https://www.econbiz.de/10010994415

Bootstrapping pre-averaged realized volatility under market microstructure noise

Hounyo, Ulrich; Goncalves, Sílvia; Meddahi, Nour - School of Economics and Management, University of Aarhus - 2013

The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach of Jacod et al. (2009), where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the...

Persistent link: https://www.econbiz.de/10010851203

Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns

Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - School of Economics and Management, University of Aarhus - 2013

The main contribution of this paper is to propose bootstrap methods for realized volatility-like estimators defined on pre-averaged returns. In particular, we focus on the pre-averaged realized volatility estimator proposed by Podolskij and Vetter (2009). This statistic can be written (up to a...

Persistent link: https://www.econbiz.de/10010851277

Is Spatial Bootstrapping a Panacea for Valid Inference?

Klarl, Torben - Institut für Volkswirschaftlehre, Fakultät für … - 2013

Bootstrapping methods have so far been rarely used to evaluate spatial data sets. Based on an extensive Monte Carlo study we find that also for spatial, cross-sectional data, the wild bootstrap test proposed by Davidson and Flachaire (2008) based on restricted residuals clearly outperforms...

Persistent link: https://www.econbiz.de/10010859384

Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests.

Ahmed, Amira Akl - In: Ensayos Revista de Economia XXXIII (2014) 1, pp. 91-126

Multiple variance ratio tests, in rolling window procedure, were applied to weekly data (expressed in local and US dollar currencies) for five stock markets in the Middle East and North Africa during 1995-2009. Results indicated that the big and liquid stock markets of Israel and Turkey are...

Persistent link: https://www.econbiz.de/10010882901

A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models

Cavaliere, Giuseppe; Angelis, Luca De; Rahbek, Anders; … - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2013

In this paper we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems … deliver the best overall performance in terms of their frequency of selecting the correct co-integration rank across different … values of the co-integration rank, sample size, stationary dynamics and models of heteroskedasticity. Of these the wild …

Persistent link: https://www.econbiz.de/10010903767

Testing for parameter restrictions in a stationary VAR model: A bootstrap alternative

Kim, Jae H. - In: Economic Modelling 41 (2014) C, pp. 267-273

This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the estimated generalised least square estimator for VAR parameters, which considers...

Persistent link: https://www.econbiz.de/10010933338

Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading

Hounyo, Ulrich - School of Economics and Management, University of Aarhus - 2014

We propose a bootstrap method for estimating the distribution (and functionals of it such as the variance) of various integrated covariance matrix estimators. In particular, we first adapt the wild blocks of blocks bootstrap method suggested for the pre-averaged realized volatility estimator to...

Persistent link: https://www.econbiz.de/10010937808

Nonparametric analysis of covariance

Dette, Holger; Neumeyer, Natalie - Institut für Wirtschafts- und Sozialstatistik, … - 2000

In the problem of testing the equality of k regression curves from independent samples we discuss three methods using nonparametric estimation techniques of the regression function. The first test is based on a linear combination of estimators for the integrated variance function in the...

Persistent link: https://www.econbiz.de/10010955502

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