-uniform and depends on the beta value of interest. We also show that the widely used Fama-MacBeth variance estimator is … variance estimator, which is always consistent and provide an empirical implementation which produces valid inference. In our …

asymptotic normal null distribution. We also prove the validity of using the wild bootstrap method to approximate the null … distribution of the test statistic, the bootstrap being our preferred method for obtaining the null distribution in practice …

-uniform and depends on the beta value of interest. We also show that the widely used Fama-MacBeth variance estimator is … variance estimator, which is always consistent and provide an empirical implementation which produces valid inference. In our …

We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient … regression models based on a nonparametric local linear estimator. The asymptotic validity of the sieve bootstrap in the presence …, both at the interior and boundary points. In addition, we develop a bootstrap test for parameter constancy and show that it …

only ensures consistency of the infinitesimal variance estimator, not of the drift estimator. Additionally, the procedure … does not guarantee that the rate conditions for asymptotic normality of the infinitesimal variance estimator are satisfied … case, for instance, for stochastic volatility modelling by virtue of preliminary high-frequency spot variance estimates …