Showing 1 - 10 of 129
We study the robustness of block resampling procedures for time series. We first derive a setof formulas to quantify … ren-der inferences based on standard resampling methods useless already in simple estimation andtesting settings. To solve … this problem, we introduce a robust fast resampling scheme that isapplicable to a wide class of time series settings.[...] …
Persistent link: https://www.econbiz.de/10005868574
We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramér-von Mises test statistic. Finite sample properties are...
Persistent link: https://www.econbiz.de/10005858034
mostimportant methods are summarized, as well as resampling methodology which is useful toset critical values. Finally, we consider …
Persistent link: https://www.econbiz.de/10005868540
Several attempts have been made to reduce the impact of estimation errors on the optimalportfolio composition. On the one hand, improved estimators of the necessary momentshave been developed and on the other hand, heuristic methods have been generated to enhancethe portfolio performance, for...
Persistent link: https://www.econbiz.de/10005869534
In this paper, we investigate the asymmetry in the tail dependence between USequity portfolios and the aggregate US market. Given the limited number of ob-servations in the tails of a joint distribution, standard non-parametric measures oftail dependence often have poor nite-sample properties....
Persistent link: https://www.econbiz.de/10009487001
This paper considers the problem of determining the extent of any state dependen-cies in women's labor supply behavior. Employment outcomes are modeled using adynamic multinomial choice framework including persistent unobserved heterogeneitywith a relatively general distribution. In order to...
Persistent link: https://www.econbiz.de/10005870143
We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones index. First, we use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it is more powerful and not restricted only to the best...
Persistent link: https://www.econbiz.de/10005857744
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed...
Persistent link: https://www.econbiz.de/10005858776
We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum and average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized asymptotic bias of size and power under local model...
Persistent link: https://www.econbiz.de/10005858906
This paper studies the distribution of the classical t-ratio with data generatedfrom distributions with no nite moments and shows how classical testing is affectedby bimodality. A key condition in generating bimodality is independenceof the observations in the underlying data generating process...
Persistent link: https://www.econbiz.de/10008911511