to be asymptotically conservative. The power of GMS tests is compared to that of subsampling, m out of n bootstrap, and … to have asymptotic power that dominates that of subsampling, m out of n bootstrap, and PA tests. Subsampling and m out of …

We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed … diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is … inconsistent when applied to our inference question. Recently, a type of subsampling has been used to do an additive bias …

identified. For a specified class of test statistics, this paper establishes the uniform asymptotic validity of subsampling, m …

We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed … diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is … inconsistent when applied to our inference question. Recently, a type of subsampling has been used to do an additive bias …

We develop subsampling-based tests of stock-return predictability and apply them to U.S. data. These tests allow for … subsampling-based tests have desirable size and power properties. Using stock-market valuation ratios and the risk-free rate as … Hi-Stat Discussion Paper Series No.178 Subsampling-Based Tests of Stock-Return Predictability …