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In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10001731828
described as robust to weak instruments. We also show that test consistency may still hold even if the overall identification … under both the null hypothesis (level) and the alternative hypothesis (power), with or without identification. We show that … the usual chi-squares critical values are still applicable even when identification is weak. So, all proposed tests can be …
Persistent link: https://www.econbiz.de/10013104919
. Consistency and asymptotic normality of a symmetric and of a one-sided kernel estimator of volatility are outlined with remarks on …
Persistent link: https://www.econbiz.de/10013159079
returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance estimator …
Persistent link: https://www.econbiz.de/10009487233
This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of integers. The first two-part model assumes a Binomial distribution and known group size. It nests the one-part fractional response model proposed by Papke and Wooldridge (1996)...
Persistent link: https://www.econbiz.de/10010417183
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10011431982
We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...
Persistent link: https://www.econbiz.de/10011905649
Persistent link: https://www.econbiz.de/10012991257
-likelihood ratio test of no-cointegration on the estimated p-r common trends that are not cointegrated under the null. The order of …
Persistent link: https://www.econbiz.de/10013058864
, which are robust to weak identification and allow for non-Gaussian distributions including parametric GARCH structures. In … the Maximized Monte Carlo test method - are generally preferable to their Wald-HAC counterparts from the viewpoints of …
Persistent link: https://www.econbiz.de/10013130243