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Bimodal t-ratios: The Impact of Thick Tails onInference
Fiorio, Carlo V.; Hajivassiliou, Vassilis; Phillips, … - University of Milan and Econpubblica; London School of …; … - 2008
moments and shows how classical testing isaspected by bimodality. A key condition in generating bimodality is independence of … distribution termed the \double Pareto," which allows the thickness of the tails and theexistence of moments to be determined … truncated on a compact support, showing that bimodality can persist even in such cases.Simulation results highlight the dangers …
Persistent link: https://www.econbiz.de/10008911510
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A Simple Test for Spurious Regressions
Noriega, Antonio E.; Ventosa-Santaularia, Daniel - School of Economics and Management, University of Aarhus - 2011
The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...
Persistent link: https://www.econbiz.de/10009147394
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A Simple Test for Spurious Regressions
Noriega, Antonio E.; Ventosa-Santaulària, Daniel - Banco de México - 2011
It has been found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes. This paper introduces a simple method which guarantees convergence of this t-statistic to a...
Persistent link: https://www.econbiz.de/10009275698
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Testing Non-linearity Using a Modified Q Test
Vavra, Marian - Birkbeck, Department of Economics, Mathematics & Statistics - 2012
A new version of the Q test, based on generalized residual correlations (i.e. auto-correlations and cross-correlations), is developed in this paper. The Q test fixes two main shortcomings of the Mcleod and Li Q (MLQ) test often used in the literature: (i) the test is capable to capture some...
Persistent link: https://www.econbiz.de/10010886262
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Una prueba simple para regresiones espurias
Noriega, Antonio E.; Ventosa-Santaulària, Daniel - 2011
It has been found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes. This paper introduces a simple method which guarantees convergence of this t-statistic to a...
Persistent link: https://www.econbiz.de/10010322603
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More Reliable Inference for Segregation Indices
Allen, Rebecca; Burgess, Simon; Windmeijer, Frank - Centre for Market and Public Organisation (CMPO), … - 2009
The most widely used measure of segregation is the dissimilarity index, D. It is now well understood that this measure also reflects randomness in the allocation of individuals to units; that is, it measures deviations from evenness not deviations from randomness. This leads to potentially large...
Persistent link: https://www.econbiz.de/10005577250
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Una prueba simple para regresiones espurias
Noriega-Muro, Antonio E.; Ventosa-Santaulària, Daniel - 2011
It has been found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes. This paper introduces a simple method which guarantees convergence of this t-statistic to a...
Persistent link: https://www.econbiz.de/10009272239
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Maximum Non-Extensive Entropy Block Bootstrap for Non-Stationary Processes
Bergamelli, Michele - 2015
In this paper, we propose a novel entropy-based resampling scheme valid for non-stationary data. In particular, we identify the reason for the failure of the original entropy-based algorithm of Vinod and Lopez-de Lacalle (2009) to be the perfect rank correlation between the actual and...
Persistent link: https://www.econbiz.de/10013025071
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Replication of Past Portfolio Outperformance : Dutiful Quant Spins Cautionary Tale With Resolution
O'Connor, Michael Christopher - 2023
Granted, it is generally understood that using past performance as the basis for either choosing an investment alternative or for selecting a particular configuration of a given alternative poses the risk of mistaking chance outperformance for something that might endure. But if many of the...
Persistent link: https://www.econbiz.de/10014254732
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Ajuste del ingreso en México con un enfoque bayesiano
Rivera, Fredy Yair Montes; Rodríguez, Paulino Pérez; … - In: Estudios Económicos 27 (2012) 2, pp. 273-293
In this work, three distributions are proposed (Pareto, Lognormal and Dagum) to model the income of Mexican population …
Persistent link: https://www.econbiz.de/10010736709