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...

Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with...

This paper proposes a nonparametric simultaneous test for parametric specification of the conditional mean and variance functions in a time series regression model. The test is based on an empirical likelihood (EL) statistic that measures the goodness-of-fit between the parametric estimates and...

Abadie and Imbens (2008, Econometrica) showed that classical bootstrap schemes fail to provide correct inference for K-nearest neighbour (KNN) matching estimators of average causal effects. This is an interesting result showing that bootstrap should not be applied without theoretical...

Applied researchers often test for the difference of the variance of two investment strategies; in particular, when the investment strategies under consideration aim to implement the global minimum variance portfolio. A popular tool to this end is the F-test for the equality of variances....

Computer-intensive methods are a recent development in the theory of statistics with potential applicability in audit and accounting sampling. Whereas traditional sampling approaches can require complex analytics and questionable distributional assumptions, computer-intensive methods generate...

To match the NBER business cycle features it is necessary to employ Generalised Dynamic Categorical (GDC) models that impose certain phase restrictions and permit multiple indexes. Theory suggests additional shape restrictions in the form of monotonicity and boundedness of certain transition...