Applied researchers often test for the difference of the variance of two investment strategies;in particular, when the investment strategies under consideration aim to implementthe global minimum variance portfolio. A popular tool to this end is the F-test for theequality of variances....

We consider a recently proposed class of nonlinear time series models and focus mainly onmisspecification testing for models of such type. Following the modeling cycle for nonlineartime series models of specification, estimation and evaluation we first treat how to choosean adequate transition...

We consider time series models in which the conditional mean of the response variable given thepast depends on latent covariates. We assume that the covariates can be estimated consistentlyand use an iterative nonparametric kernel smoothing procedure for estimating the conditional meanfunction....

Determining good parameter estimates in ESTAR models is known to be difficult. We showthat the phenomena of getting strongly biased estimators is a consequence of the so-calledidentication problem, the problem of properly distinguishing the transition function in relationto extreme parameter...

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-runconcept the specific dynamic driving the process is largely build upon a priori economicbelief rather than a thorough statistical modeling procedure. The two prevailing timeseries models, i.e. the exponential smooth...

We study the empirical behaviour of semi-parametric log-periodogram estimation forlong memory models when the true process exhibits a change in persistence. Simulationresults confirm theoretical arguments which suggest that evidence for long memory islikely to be found...

This paper uses dimension asymptotics to study why overfit linear regression models shouldbe compared out-of-sample; we let the number of predictors used by the larger model increasewith the number of observations so that their ratio remains uniformly positive. Under this limittheory, the naive...

This paper extends the cross sectionally augmented panel unit root test proposed byPesaran (2007) to the case of a multifactor error structure. The basic idea is to exploitinformation regarding the unobserved factors that are shared by other time series in additionto the variable under...

We show that tests for a break in the persistence of a time series in the classicalI(0) - I(1) framework have serious size distortions when the actual data generatingprocess exhibits long-range dependencies. We prove that the limiting distributionof a CUSUM of squares based test depends on the...

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...