It is well known that traditional inference do not apply when the spectral density of a stationary process vanishes for some frequency. This paper examines some properties of several new non parametric tests of this hypothesis which have been recently proposed by Lacroix (1999). These tests...

Non parametric and parametric estimation for the spectral density of a stationary process is a well-known topic, except when the spectrum vanishes for some frequency. Indeed, for this frequency, the limit law degenerates, and traditional inference no longer applies. The paper introduces non...

We propose a new nonparametric test to determine whether finite-activity jumps are present in a discretely observed price process. For a univariate Itô semimartingale, we introduce the concept of censored increments for observations recursively sampled at exit times with respect to a symmetric...

The purpose of this paper is to characterize three commonly used double unit root tests in terms of their asymptotic local power. To this end, we study a class of nearly doubly integrated processes which in the limit will behave as a weighted integral of a double indexed Ornstein-Uhlenbeck...

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...

We use a variety of nonparametric test statistics to evaluate the inflation- targeting regimes of Australia, Canada, New Zealand, Sweden and the UK. We argue that a sensible approach of evaluation must rely on a variety of methods, among them parametric and nonparametric econometric methods, for...

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itô semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...

We are interested in statistical tests that are able to uncover that one method is better than another one. The Wilcoxon-Mann-Whitney rank-sum and the Wilcoxon sign-rank test are the most popular tests for showing that two methods are different. Yet all of the 32 papers in Economics we surveyed...

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...

In this paper, we show that despite the fact that Ornstein-Uhlenbeck (OU) processes fall within the general specification of asset price dynamics studied by Lee and Mykland (2008), the finite sample performance of their two tests for additive jumps is far from being satisfactory when the process...