Wild bootstrapping variance ratio tests

DOI10.1016/J.ECONLET.2006.01.007zbMath1255.62128OpenAlexW2084130597MaRDI QIDQ1929375

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

zbMATH Keywords

Monte Carlo experimentconditional heteroskedasticitymarket efficiencywild bootstrap

Mathematics Subject Classification ID

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

Related Items (8)

Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity ⋮ Generalized Variance-Ratio Tests in the Presence of Statistical Dependence ⋮ 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 ⋮ Nonparametric predictive inference for stock returns ⋮ A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests ⋮ Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability

Cites Work

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

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