The size and power of the Wald, Edgeworth expansion corrected likelihood-ratio statistic (LRE), and bootstrap tests for Granger causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods and simple graphical techniques, the p-value plots, and power-size plots,...

This study proposes a nonparametric bootstrap-based test to compare performances between two portfolios in terms of their information ratio. This serves as an extension to the literature that tests performance between two portfolio investment strategies that uses Sharpe ratio. Monte Carlo...

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken 'directly' from the observed data. The procedure is useful when one wants to summarize the test results for several time...

We investigate the small sample properties of two types of weak exogeneity tests in cointegrated VAR models that are frequently used in applied work. The first one is the standard Likelihood Ratio (LR) test in the Johansen framework. The second test is based on mapping the cointegrated VAR model...

In practice, bootstrap tests must use a finite number of bootstrap samples. This means that the outcome of the test will depend on the sequence of random numbers used to generate the bootstrap samples, and it necessarily results in some loss of power. We examine the extent of this power loss and...

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken "directly" from the observed data. The procedure is useful when one wants to summarize the test results for several time...