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Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests

Camponovo, Lorenzo - 2011

We introduce a nonparametric block bootstrap approach for Quasi-Likelihood Ratio type tests of nonlinear restrictions …. Unlike existing parametric bootstrap procedures for Quasi-Likelihood Ratio type tests, our procedure constructs bootstrap … samples in a fully nonparametric way. We study the higher order properties of our nonparametric block bootstrap and show the …

Persistent link: https://www.econbiz.de/10014178027

Detecting Serial Dependence in Tail Events : A Test Dual to the Bds Test

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10014111453

Nonparametric Inference Based on Conditional Moment Inequalities

Andrews, Donald W. K. - 2011

This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...

Persistent link: https://www.econbiz.de/10013117347

Nonparametric Inference Based on Conditional Moment Inequalities

Andrews, Donald W. K. - 2013

Persistent link: https://www.econbiz.de/10013086470

Nonparametric Inference Based on Conditional Moment Inequalities

Andrews, Donald W. K. - 2013

Persistent link: https://www.econbiz.de/10013074673

Nonparametric Tests of Conditional Independence for Time Series

Song, Xiaojun; Wei, Haoyu - 2021

bootstrap. Monte Carlo simulations are conducted to evaluate the finite sample performance of the proposed tests. We apply our …

Persistent link: https://www.econbiz.de/10013324332

Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-Stationary Return Series Model

Gürtler, Marc - 2009

In this paper we first investigate the validity of a general Value at Risk approach, which is widely used for risk management in banking and insurance companies. We discuss and widely reject the conventional assumptions, e.g. independent identically distributed normal returns, and as consequence...

Persistent link: https://www.econbiz.de/10013159079

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile …

Persistent link: https://www.econbiz.de/10003971115

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

Gürtler, Marc; Rauh, Ronald - 2009 - This Version: 2009-09-09

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...

Persistent link: https://www.econbiz.de/10009487233

Nonparametric inference for second order stochastic dominance

Schmid, Friedrich; Trede, Mark - 1996

This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown they have to be inferred from observed realizations. Thus, any results on stochastic dominance are influenced by sampling errors. We establish...

Persistent link: https://www.econbiz.de/10008992397