Wild bootstrapping variance ratio tests

DOI10.1016/J.ECONLET.2006.01.007zbMATH Open1255.62128OpenAlexW2084130597MaRDI QIDQ1929375FDOQ1929375

Authors: Yanyan Li 

Publication date: 8 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.01.007

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zbMATH Keywords

conditional heteroskedasticitywild bootstrapMonte Carlo experimentmarket efficiency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09)

Cites Work

• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrap and wild bootstrap for high dimensional linear models
• Subsampling for heteroskedastic time series
• A simple multiple variance ratio test
• A multiple variance ratio test using subsampling

Cited In (15)

• Tests of random walk: A comparison of bootstrap approaches
• Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity
• An exact invariant variance ratio test.
• Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
• Nonparametric predictive inference for stock returns
• A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
• A linear approximation to the wild bootstrap in specification testing
• A comparison of linearity tests based on wild bootstrap
• Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap
• Bootstrap tests of multiple inequality restrictions on variance ratios
• Wild Bootstrap Tests for IV Regression
• Wild bootstrap Ljung-Box test for cross correlations of multivariate time series
• Small sample properties of alternative tests for martingale difference hypothesis
• Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets
• Generalized Variance-Ratio Tests in the Presence of Statistical Dependence

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