Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are increasingly used to check a) the specification b) the forecasting capacity of these models. We carry out a Monte Carlo experiment on a widely-used DSGE model to investigate the power of...

We introduce the concept of the bootstrap discrepancy, which measures the difference in rejection probabilities between a bootstrap test based on a given test statistic and that of a (usually infeasible) test based on the true distribution of the statistic. We show that the bootstrap discrepancy...

This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that there are many different procedures for...

Many empirical questions can be cast as inference on a parameter selected through optimization. For example, researchers may be interested in the effectiveness of the best policy found in a randomized trial, or the best-performing investment strategy based on historical data. Such settings give...

This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974-2002). The structural estimation methodology allows us to investigate whether differences in business cycle behaviour are due to differences in...

This Monte-Carlo study investigates sensitivity of the Wilcoxon signed rank test to certainassumption violations in small samples. Emphasis is put on within-sample-dependence,between-sample dependence, and the presence of ties. Our results show that both assumptionviolations induce severe size...

We find that price and earnings momentum are pervasive features of international equitymarkets when controlling for data snooping biases. For European countries, we find that pricemomentum is subsumed by earnings momentum on an aggregate level. However, this rationaledoes not apply to each and...

We find that stocks exhibiting high dispersion in analysts’ earnings forecasts do not onlyunderperform in the U.S. but also in many European countries. Testing for the dispersioneffect in many countries calls for adequate multiple testing controls and we show that theU.S. dispersion effect...