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Bootstrap DEA and hypothesis testing
Tziogkidis, Panagiotis - 2012
requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade …, which could be extended to test almost any hypothesis in bootstrap DEA. Moreover, it enhances the intuition behind bootstrap …
Persistent link: https://www.econbiz.de/10009583705
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High dimensional semiparametric moment restriction models
Dong, Chaohua; Gao, Jiti; Linton, Oliver - 2018
Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are divergent and an unknown function is involved, are studied using the generalized method of moments (GMM) and sieve method dealing with the nonparametric parameter. The consistency...
Persistent link: https://www.econbiz.de/10011775182
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High dimensional semiparametric moment restriction models
Dong, Chaohua; Gao, Jiti; Linton, Oliver - 2018
We consider nonlinear moment restriction semiparametric models where both the dimension of the parameter vector and the number of restrictions are divergent with sample size and an unknown smooth function is involved. We propose an estimation method based on the sieve generalized method of...
Persistent link: https://www.econbiz.de/10011938037
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A combined nonparametric test for seasonal unit roots
Kunst, Robert M. - 2014
Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...
Persistent link: https://www.econbiz.de/10010252130
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Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models
Conrad, Christian; Mammen, Enno - 2008
We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...
Persistent link: https://www.econbiz.de/10003747376
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Fund-of-Funds Construction by Statistical Multiple Testing Methods
Wolf, Michael; Wunderli, Dan - 2009
-weighted or the global minimum variance portfolio of the outperforming funds is held for one year, after which the selection …
Persistent link: https://www.econbiz.de/10014203754
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A nonparametric test for seasonal unit roots
Kunst, Robert M. - 2009
We consider a nonparametric test for the null of seasonal unit roots in quarterly time series that builds on the RUR (records unit root) test by Aparicio, Escribano, and Sipols. We find that the test concept is more promising than a formalization of visual aids such as plots by quarter. In order...
Persistent link: https://www.econbiz.de/10009735343
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Efficient Semiparametric Detection of Changes in Trend
Goh, Chuan - 2009
This paper proposes a test for the correct specification of a dynamic time-series model that is taken to be stationary about a deterministic linear trend function with no more than a finite number of discontinuities in the vector of trend coefficients. The test avoids the consideration of...
Persistent link: https://www.econbiz.de/10012720581
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Assessment of Uncertainty in High Frequency Data : The Observed Asymptotic Variance
Mykland, Per A. - 2016
asymptotic variance, and often this asymptotic variance involves substantially more complex quantities than the original … solution to this problem, which we call Observed Asymptotic Variance. It is a general nonparametric method for assessing … asymptotic variance (AVAR). It provides consistent estimators of AVAR for a broad class of integrated parameters Θ =\int θ_t dt …
Persistent link: https://www.econbiz.de/10013006101
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Secular Mean Reversion and Long-Run Predictability of the Stock Market
Zakamulin, Valeriy - 2015
Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods...
Persistent link: https://www.econbiz.de/10013036031