Showing 1 - 10 of 1,532
prove the asymptotic validity of a wild bootstrap implementation. The proposed tests work for a null hypothesis of either no … determine the appropriate level of clustering. Simulations suggest that the bootstrap tests perform very well under the null …
Persistent link: https://www.econbiz.de/10012201366
bootstrap algorithm to implement the proposed test and show its asymptotic validity. The proposed test procedure can apply to …
Persistent link: https://www.econbiz.de/10010190476
Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common...
Persistent link: https://www.econbiz.de/10011636497
under are highly nonstandard due to the inherent irregular natures of the problem, and then construct bootstrap critical …
Persistent link: https://www.econbiz.de/10012202917
When considering multiple hypothesis tests simultaneously, standard statistical techniques will lead to over-rejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this paper we discuss the Romano-Wolf multiple hypothesis correction, and...
Persistent link: https://www.econbiz.de/10012147332
Persistent link: https://www.econbiz.de/10013260145
disturbances,where the heteroskedasticity and autocorrelation are of unknown form. A particular version of the wild bootstrap can … dependent wild bootstrap. Here, we extend this new method, and link it to the well-known HAC covariance estimator, in much the … same way as one can link the wild bootstrap to the HCCME. It works very well even with sample sizes smaller than 50, and …
Persistent link: https://www.econbiz.de/10011774249
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
This paper analyzes the properties of a class of estimators, tests, and confidence sets (CS's) when the parameters are not identified in parts of the parameter space. Specifically, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter theta....
Persistent link: https://www.econbiz.de/10014176550
methods (i.e., the asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare these methods …
Persistent link: https://www.econbiz.de/10014179349