Economics is primarily a non-experimental science. Typically, we cannot generate new data sets on which to test hypotheses independently of the data that may have led to a particular theory. The common practice of using the same data set to formulate and test hypotheses introduces data-snooping...

 In this paper we utilize Whites Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect inthe context of the full universe form which the trading rules are drawn. Henxe, for the...

In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the...

The bootstrap is an increasingly popular method for performing statistical inference. This paper provides the theoretical foundation for using the bootstrap as a valid tool of inference for quasi-maximum likelihood estimators (QMLE). We provide a unified framework for analyzing bootstrapped...

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

We explore the extension of James-Stein type estimators in a direction that enables them to preserve their superiority when the sample size goes to infinity. Instead of shrinking a base estimator towards a fixed point, we shrink it towards a data-dependent point. We provide an analytic...

Sharpe style regression has become a widespread analytic tool in the financial community. The style regression allows one to investigate such interesting issues as style composition, style sensitivity, and style change over time. All previous methods to obtain the distribution and confidence...

Let H be an infinite-dimentional real separable Hilbert space. Given an unknown mapping M : H (arrow) H that can only be observed with noise, we consider two modified Robbins-Monro procedures to estimate the zero point (theta) (subscript 0) ? H of M. These procedures work in appropriate finite...