Bootstrap tests of multiple inequality restrictions on variance ratios
From MaRDI portal
Publication:1929115
DOI10.1016/j.econlet.2005.12.008zbMath1255.62081MaRDI QIDQ1929115
Chris Kirby, Barbara Ostdiek, Jeff Fleming
Publication date: 7 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2005.12.008
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F03: Parametric hypothesis testing
62F30: Parametric inference under constraints
62F40: Bootstrap, jackknife and other resampling methods
Cites Work
- A component model for dynamic correlations
- Testing inequality constraints in linear econometric models
- A multiple variance ratio test using subsampling
- Consistency of the stationary bootstrap under weak moment conditions
- An Exact Test for Multiple Inequality and Equality Constraints in the Linear Regression Model
- The Stationary Bootstrap
- Automatic Block-Length Selection for the Dependent Bootstrap
- A Reality Check for Data Snooping
- One-Sided Testing Problems in Multivariate Analysis