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Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation

Mantalos, Panagiotis - 2012

heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) in Politis (2007) and examine their … properties using Monte Carlo methods. In terms of the size of the test, our analysis reveals that unit root tests with NoVaS …-modified critical values have actual sizes close to the nominal size. For the power of the test, we find that unit root tests with NoVaS …

Persistent link: https://www.econbiz.de/10012654372

Fourth Order Pseudo Maximum Likelihood Methods

Holly, Alberto; Monfort, Alain; Rockinger, Michael - Finrisk - 2008

The objective of this paper is to extend the results on Pseudo Maximum Likelihood(PML) theory derived in Gourieroux, Monfort, and Trognon (GMT)(1984) to a situation where the rst four conditional moments are specied.Such an extension is relevant in light of pervasive evidence that conditional...

Persistent link: https://www.econbiz.de/10005868843

Identification using higher-order moments restrictions

Andrade, Philippe; Ferroni, Filippo; Melosi, Leonardo - 2023

We exploit inequality restrictions on higher-order moments of the distribution of structural shocks to sharpen their identification. We show that these constraints can be treated as necessary conditions and used to shrink the set of admissible rotations. We illustrate the usefulness of this...

Persistent link: https://www.econbiz.de/10014480420

Resistant outlier rules and the non-Gaussian case

Carling, Kenneth - 1998

The techniques of exploratory data analysis include a resistant rule, based on a linear combination of quartiles, for identification of outliers. This paper shows that the substitution of the quartiles with the median leads to a better performance in the non-Gaussian case. The improvement occurs...

Persistent link: https://www.econbiz.de/10010321056

Prospect Theory and Higher Moments

Ågren, Martin - 2006

The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis … related to the skewness. However, the relation is negative when probability weighing is set aside. This shows that cumulative … prospect theory investors display a preference for skewness through the probability weighting function. Furthermore, the …

Persistent link: https://www.econbiz.de/10010321576

Robust performance hypothesis testing with smooth functions of population moments

Ledoit, Olivier; Wolf, Michael - 2018

Applied researchers often want to make inference for the difference of a given performance measure for two investment strategies. In this paper, we consider the class of performance measures that are smooth functions of population means of the underlying returns; this class is very rich and...

Persistent link: https://www.econbiz.de/10011969216

Technical Trading Revisited: Persistence Tests, Transaction Costs, and False Discoveries

Bajgrowicz, Pierre; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones index. First, we use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it is more powerful and not restricted only to the best...

Persistent link: https://www.econbiz.de/10005857744

Testing for Stochastic Dominance Efficiency

Scaillet, Olivier; Topaloglou, Nikolas - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed...

Persistent link: https://www.econbiz.de/10005858776

Robust GMM Tests for Structural Breaks

Gagliardini, Patrick; Trojani, Fabio; Urga, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum and average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized asymptotic bias of size and power under local model...

Persistent link: https://www.econbiz.de/10005858906

Robust Predictive Regression

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010

A large literature studies the predictability of stock returns by other lagged nancialvariables in a predictive regression setting. A common feature of widely used testingprocedures is a failing robustness, which may lead to misleading conclusions determinedby the particular features of a small...

Persistent link: https://www.econbiz.de/10009248833