In this paper we consider several modified wild bootstrap methods that, additionally to heteroskedasticity, can take dependence into account. The modified wild bootstrap methods are shown to correctly replicate an invariance principle for multivariate time series that are characterized by...

In this paper we analyze Granger causality testing in a mixed-frequency VAR, originally proposed by Ghysels 2012, where the difference in sampling frequencies of the variables is large. In particular, we investigate whether past information on a low-frequency variable help in forecasting a...

Most panel data studies of the predictability of returns presume that the cross-sectional units are independent, an assumption that is not realistic. As a response to this, the current paper develops block bootstrap-based panel predictability tests that are valid under very general conditions....

This paper introduces the notion of nowcasting causality for mixed-frequency VARs as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in the mixed-frequency VAR setting of Ghysels 2012 and illustrate that nowcasting...

In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root tests on the same variables. Using a framework of Bayes...

The fixed-b asymptotic framework provides refinements in the use of heteroskedasticity and autocorrelation consistent variance estimators. We show however that the fixed-b limiting distributions of t-statistics are not pivotal when the variance of the underlying data generating process changes...

Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology can be applied to data which can be represented as annual curves which evolve...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

The rank of the Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In...