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Improved nonparametric confidence intervals in time series regressions

Romano, Joseph P.; Wolf, Michael - Department of Economics and Business, Universitat … - 2002

empirical studies. This paper suggests using the studentized block bootstrap and discusses practical issues, such as the choice …

Persistent link: https://www.econbiz.de/10005827510

Testing for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2011

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

Persistent link: https://www.econbiz.de/10009019148

Robust performance hypothesis testing with the variance

Ledoit, Olivier; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2010

methods. In particular, we suggest to construct a studentized time series bootstrap confidence interval for the ratio of the …

Persistent link: https://www.econbiz.de/10008679202

A practical two-step method for testing moment inequalities

Shaikh, Azeem M.; Wolf, Michael; Romano, Joseph P. - Institut für Volkswirtschaftslehre, … - 2012

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are “negative.” A...

Persistent link: https://www.econbiz.de/10010817265

Testing the value of directional forecasts in the presence of serial correlation

Blaskowitz, Oliver; Herwartz, Helmut - In: International Journal of Forecasting 30 (2014) 1, pp. 30-42

in a simulation study. We therefore summarize robust test procedures for serial correlation and propose a bootstrap …

Persistent link: https://www.econbiz.de/10011051468

A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis

Herwartz, Helmut; Waichman, Israel - In: Computational Statistics 25 (2010) 4, pp. 725-732

Persistent link: https://www.econbiz.de/10008775807

Stepwise Multiple Testing as Formalized Data Snooping

Romano, Joseph P.; Wolf, Michael - Barcelona Graduate School of Economics (Barcelona GSE) - 2003

It is common in econometric applications that several hypothesis tests are carried out at the same time. The problem then becomes how to decide which hypotheses to reject, accounting for the multitude of tests. In this paper, we suggest a stepwise multiple testing procedure which asymptotically...

Persistent link: https://www.econbiz.de/10010547259

Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2002

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which … is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any … Monte Carlo investigation empirical size and power properties of the new method are illustrated. We compare the bootstrap …

Persistent link: https://www.econbiz.de/10010956345

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 1998

One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However, one often finds better results when directly fitting an...

Persistent link: https://www.econbiz.de/10010956379

Bootstrap inference in single equation error correction models

Herwartz, Helmut; Neumann, Michael H. - Sonderforschungsbereich 373, Quantifikation und … - 2000

conditional heteroskedasticity. We show that the wild bootstrap provides convenient critical values for the considered OLS …-based statistics under both homoskedastic and conditionally heteroskedastic model errors. The wild bootstrap is easy to implement and … approximations. We prove further that the wild bootstrap retains its validity for inference within a system of pooled equations …

Persistent link: https://www.econbiz.de/10010956432