We propose a methodology for constructing confidence regions with partially identified models of general form. The region is obtained by inverting a test of internal consistency of the econometric structure. We develop a dilation bootstrap methodology to deal with sampling uncertainty without...

This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For analyses, Carhart's four-factor model is used as the benchmark model for performance, and bootstrap procedures are applied to separate skill from luck. The results show that the...

We report a simulation study where we want to consider a fairly simple data generating process (DGP) used in Nordman and Lahiri (JASA, 2012) with a single fixed regressor and regression errors produced by simple AR(1) processes. We focus on the estimation of standard errors of regression...

We show that a straightforward modification of a trading based test for predictability displays interesting advantages over the Excess Profitability (EP) test (proposed by Anatolyev and Gerco) when testing the Martingale Difference Hypothesis. Our statistic is called Straightforward Excess...

This paper studies the robust estimation and inference of threshold models with integrated regressors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

While moving block bootstrap (MBB) has been used for mildly dependent (m-dependent) time series, maximum entropy (ME) bootstrap (meboot) is perhaps the only tool for inference involving perfectly dependent, nonstationary time series, possibly subject to jumps, regime changes and gaps. This brief...

It is well established that the shocks driving many key macroeconomic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector autoregressions...

Although the concept of the sampling distribution is at the core of much of what we do in econometrics, it is a concept that is often difficult for students to grasp. The thought process behind bootstrapping provides a way for students to conceptualize the sampling distribution in a way that is...