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Persistent link: https://www.econbiz.de/10014332237
This paper illustrates the usefulness of resampling-based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...
Persistent link: https://www.econbiz.de/10008510781
Purpose – The purpose of this paper is to examine financial integration across North American stock markets from January 1984 to December 2003. Design/methodology/approach – The paper uses an arbitrage pricing theory framework. The risk factors considered are the three Fama and French...
Persistent link: https://www.econbiz.de/10004993578
This paper examines financial market integration in North-America from January 1984 to December 2003, using two basic CAPM and APT test models. We introduce a methodology valid in finite samples for the CAPM model. A pivotal statistic is introduced to correct for the so-called dimensionality...
Persistent link: https://www.econbiz.de/10005132623
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We revisit financial market integration and study the impact of multiple risk factors and model specification on inference. Our tests exploit a method correct in finite sample that jointly assesses coefficient significance and detects identification problems. Results on four countries show that...
Persistent link: https://www.econbiz.de/10013007309
In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a...
Persistent link: https://www.econbiz.de/10005353311