skewness and kurtosis as in Bera and Jarque (1981) is still a useful test of normality provided the limiting variance accounts …We present the sampling distributions for the coefficient of skewness, kurtosis, and a joint test of normality for time … statistics are shown to depend on the long run rather than the short-run variance of relevant sample moments. Monte Carlo …

parameters as well as a bootstrap technique to account for the bandwidth’s influence. Our new methods are simple to implement …

coverage for small sample sizes, a simple bootstrap procedure is designed based on the leading term of the Bahadur … demonstrated that the bootstrap procedure considerably outperforms the asymptotic bands in terms of coverage accuracy. Finally, the … bootstrap confidence corridors are used to study the efficacy of the National Supported Work Demonstration, which is a …

test is a consistent test. We also establish the asymptotic validity of a bootstrap procedure which is used to better …

restrictions on parameters as well as a bootstrap technique to account for the bandwidth’s influence. Our new methods are simple to …

We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as … realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is … superior to the existing first-order asymptotic theory. Nevertheless, and contrary to the existing results in the bootstrap …