Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability

DOI10.1080/03610918.2013.858164zbMath1474.62412OpenAlexW3122262802MaRDI QIDQ5860242

Jean-Marie Dufour, Lynda Khalaf, Marcel Voia

Publication date: 19 November 2021

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://cirano.qc.ca/files/publications/2013s-40.pdf

zbMATH Keywords

simultaneous inferencevariance ratioMonte Carlo testinduced testtest combination

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items

Identification-robust moment-based tests for Markov switching in autoregressive models, Hypothesis testing based on a vector of statistics, Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects, Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions

Uses Software

• bootstrap
• bootlib

Cites Work

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