In non- and semiparametric testing, the wild bootstrap is a standard method to determine the critical values of the test. While there exists an increasing literature on how to find a proper smoothing parameter for the nonparametric alternative, almost nothing is known how to choose a smoothing...

This paper introduces the model confidence set (MCS) and applies it to the selection of models. An MCS is a set of models that is constructed so that it will contain the best model with a given level of confidence. The MCS is in this sense analogous to a confidence interval for a parameter. The...

We derive formulae for the asymptotic density and distribution functions of the t-statistic for autoregressive unit roots based on M-estimators. The distribution depends upon a nuisance parameter. Consequently, new critical values for this test have to be generated for each new estimator that is...

We propose a new test for superior predictive ability. The new test compares favorable to the reality check for data snooping (RC), because the former is more powerful and less sensitive to poor and irrelevant alternatives. The improvements are achieved by two modifications of the RC. We employ...

In this paper we show that the testable implications derived in Huber and Mellace (2013) are the best possible to detect invalid instruments, in the presence of heterogeneous treatment effects and endogeneity. We also provide a formal proof of the fact that those testable implications are only...

The aim of this paper is to analyze the rate and level of Australian unemployment, and also their logarithms, in the period of 1960 to 1997, with special regard to the unit-root versus stationarity hypotheses. Theoretically, the level of unemployment, the rate of unemployment and the logarithm...

We provide a methodology for testing a polynomial model hypothesis by extending the approach and results of Baek, Cho, and Phillips (2015; Journal of Econometrics; BCP) that tests for neglected nonlinearity using power transforms of regressors against arbitrary nonlinearity. We examine and...

In the paper, we consider generalized method of moments (GMM) and propose statistics to test relevance, conditional relevance and redundancy of moment conditions, as well as they modifications to check if moment conditions help with identification of a particular set of unknown parameters. The...

I propose a test of symmetry for a stationary time series based on the difference between the dispersion above the central tendency of the series with that below it. The test has many attractive features: it is applicable to dependent processes, it has a familiar form, it can be implemented...

Applied researchers often test for the difference of the Sharpe ratios of two investment strategies. A very popular tool to this end is the test of Jobson and Korkie (1981), which has been corrected by Memmel (2003). Unfortunately, this test is not valid when returns have tails heavier than the...