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The Size Problem of Kernel Based Bootstrap Tests When The Null is Nonparametric

Barrientos-Marin, Jorge; Sperlich, Stefan - 2010

In non- and semiparametric testing, the wild bootstrap is a standard method to determine the critical values of the … model for generating the bootstrap samples, see HÄardle and Marron (1990,1991). However, in practice this knowledge is of … pre-estimation to generate bootstrap samples. As an alternative, we also discuss briefly the possibility of subsampling …

Persistent link: https://www.econbiz.de/10014048394

On Distribution Free Tests for Discrete Distributions and an Extension to Continuous Time

Khmaladze, Estate V. - 2012

Persistent link: https://www.econbiz.de/10014171366

Tests of Independence in Separable Econometric Models

Brown, Donald; Wegkamp, Marten - 2003

A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical...

Persistent link: https://www.econbiz.de/10014090119

Event Studies for Merger Analysis : An Evaluation of the Effects of Non-Normality on Hypothesis Testing

Ford, George S.; Kline, Audrey D. - 2007

present evidence on the non-normality of daily stock returns and the consequences of it on critical values using a bootstrap …

Persistent link: https://www.econbiz.de/10014026837

Goodness-of-Fit Tests with Dependent Observations

Chicheportiche, Rémy - 2011

We revisit the Kolmogorov-Smirnov and Cramér-von Mises goodness-of-fit (GoF) tests and propose a generalization to identically distributed, but dependent uni-variate random variables. We show that the dependence leads to a reduction of the "effective" number of independent observations. The...

Persistent link: https://www.econbiz.de/10013121844

A Comprehensive Comparison of Nonparametric Tests for Jumps in Asset Prices

Theodosiou, Marina G - 2011

This paper presents a comprehensive comparison of nonparametric tests for jumps in the prices of financial assets. The relative performance of eight tests is examined in a Monte Carlo simulation covering scenarios of both finite and infinite activity jumps, and stochastic volatility models with...

Persistent link: https://www.econbiz.de/10013122113

Asymptotic F Test in a GMM Framework with Cross Sectional Dependence

Sun, Yixiao - 2012

size accuracy and power property as nonstandard tests that require computationally intensive simulation or bootstrap …

Persistent link: https://www.econbiz.de/10013103986

Misspecification Testing in a Class of Conditional Distributional Models

Rothe, Christoph - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10013110184

Nonparametric Tests for Event Studies Under Cross-Sectional Dependence

Pelagatti, Matteo M. - 2013

We propose three nonparametric tests for the null of no event-induced shifts in the distribution of stock returns. One test is the natural extension of the popular Corrado rank test to the case of cross-sectionally dependent returns, while the other two are based on new ideas. Unfortunately only...

Persistent link: https://www.econbiz.de/10013079356

Consonance and the Closure Method in Multiple Testing

Romano, Joseph P. - 2009

Consider the problem of testing s hypotheses simultaneously. In order to deal with the multiplicity problem, the classical approach is to restrict attention to procedures that control the familywise error rate (FWE). Typically, it is known how to construct tests of the individual hypotheses, and...

Persistent link: https://www.econbiz.de/10013156120