compute the sum of its squared intra-day returns to obtain an unbiased and efficient realized variance estimator. We derive … the asymptotic distribution of the proposed estimator and provide extensive simulation experiments. An application to spot …

in means of the panels are established. Ratio and non-ratio type test statistics are considered. Their asymptotic …

modification of Mikusheva's (2007a) modification of Stock's (1991) CI that employs the least squares estimator and a … heteroskedasticity-robust variance estimator. The CI is shown to have correct asymptotic size and to be asymptotically similar (in a …

-hypothesis, and thus the test choice is of central importance.This study compares seven tests for Benford's law common in literature … possible deviations. Even though no test consistently dominated all other tests, results show, amongst other findings, that the … current method of choice, the Chi^2-test, is consistently outperformed by Watson's-U^2 statistic …

returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance estimator …

The limit distribution of conventional test statistics for predictability may depend on the degree of persistence of … adopted. Using differencing transformations, we introduce a new class of estimators and test statistics for predictive … confirm the high reliability and accuracy of our test statistics …

-SU test is optimal under the strong IV asymptotics, and outperforms other existing tests under the weak IV asymptotics …

This paper investigates the finite sample properties of the widely-used Gibbons, Ross, Shanken (1989) (GRS) test in the … presence of both conditional correlation and conditional heteroskedasticity. It finds that the GRS test exhibits serious size … considerably larger than suggested by the GRS test …

identification failure when the source of this identification failure is known. We examine models that may have a general deficient … rank Jacobian in certain parts of the parameter space. When identification fails in one of these models, it becomes under …-identified and the identification status of individual parameters is not generally straightforward to characterize. We provide a …