This paper introduces a computationally efficient bootstrap procedure for obtaining multiplicity-adjusted p-values in situations where multiple hypotheses are tested simultaneously. This new testing procedure accounts for the mutual dependence of the individual statistics, and is shown under...

Applied researchers often test for the difference of the Sharpe ratios of two investment strategies. A very popular tool to this end is the test of Jobson and Korkie (1981), which has been corrected by Memmel (2003). Unfortunately, this test is not valid when returns have tails heavier than the...

Recent studies in marketing show decompositions of sales promotion effects based on household-level scanner data. Typically, the total elasticity is decomposed into choice, timing, and quantity elasticities. We propose a model that estimates standard, enhanced, and flexible decompositions based...

This paper develops a general test of factor price equalization that is robust to unobserved regional productivity differences, unobserved region-industry factor quality differences and variation in production technology across industries. We test relative factor price equalization across...

This paper considers the similarity between two measures of air pollution/quality control, on the one hand, and widely used indicators of life quality and welfare in the US, on the other. We use statistical cluster analysis based on information measures of similarity and distance. The results...

Non-stationarity of the real exchange rate is inconsistent with purchasing power parity as a long run equilibrium. This paper applies parametric and non-parametric techniques to data from a trade weighted index to analyse the time series properties of Australia's real exchange rate. In contrast...

The paper analyses the impact of venture capital finance on growth and innovation activities of young German firms. Among other variables, our panel of firm data includes data on venture capital funding and patent applications. With statistical matching procedures we draw an adequate control...

Statistical population moments may be finite or infinite. Determining whether certain moments of a population are finite or not based on a finite sample turns out to be a very daunting and difficult task. If one assumes stock returns to behave according the sum stable law, characteristic...

We suggest a test for discovering whether a potential expert is informed of the distribution of a stochastic process. In a non-Bayesian non-parametric setting, the expert is asked to make a prediction which is tested against a single realization of the stochastic process. It is shown that by...

In this work we analyze the spatial distribution of manufacturing industries in Italy using data on the number of employees in the local units localized in the Local labour Systems, as revealed by the decennial censuses from 1971 to 2001. We use the Exploratory Spatial Data Analysis, which...