Improved nonparametric confidence intervals in time series regressions
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- Joseph P. Romano & Michael Wolf, 2006. "Improved Nonparametric Confidence Intervals in Time Series Regressions," IEW - Working Papers 273, Institute for Empirical Research in Economics - University of Zurich.
- Romano, Joseph P. & Wolf, Michael, 2001. "Improved nonparametric confidence intervals in time series regressions," DES - Working Papers. Statistics and Econometrics. WS ws010201, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
References listed on IDEAS
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Cited by:
- Jose Dias Curto & Jose Castro Pinto, 2009. "The coefficient of variation asymptotic distribution in the case of non-iid random variables," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(1), pages 21-32.
- Ledoit, Oliver & Wolf, Michael, 2008.
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- Oliver Ledoit & Michael Wolf, 2008. "Robust Performance Hypothesis Testing with the Sharpe Ratio," IEW - Working Papers 320, Institute for Empirical Research in Economics - University of Zurich.
- Olivier Ledoit & Michael Wolf, 2018. "Robust performance hypothesis testing with smooth functions of population moments," ECON - Working Papers 305, Department of Economics - University of Zurich.
- Yeonwoo Rho & Xiaofeng Shao, 2015. "Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 444-457, July.
- Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018.
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Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
- Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," Working Papers 627, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," BAFFI CAREFIN Working Papers 1885, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Joseph Romano & Azeem Shaikh & Michael Wolf, 2008.
"Control of the false discovery rate under dependence using the bootstrap and subsampling,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(3), pages 417-442, November.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2008. "Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling," IEW - Working Papers 337, Institute for Empirical Research in Economics - University of Zurich.
- Joseph P. Romano & Michael Wolf, 2005.
"Stepwise Multiple Testing as Formalized Data Snooping,"
Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, July.
- Joseph P. Romano & Michael Wolf, 2003. "Stepwise Multiple Testing as Formalized Data Snooping," Working Papers 17, Barcelona School of Economics.
- Joseph P. Romano & Michael Wolf, 2003. "Stepwise multiple testing as formalized data snooping," Economics Working Papers 712, Department of Economics and Business, Universitat Pompeu Fabra.
- Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008.
"Formalized Data Snooping Based On Generalized Error Rates,"
Econometric Theory, Cambridge University Press, vol. 24(2), pages 404-447, April.
- Joseph P & Romano & Azeem M. Shaikh & Michael Wolf, 2005. "Formalized Data Snooping Based on Generalized Error Rates," IEW - Working Papers 259, Institute for Empirical Research in Economics - University of Zurich.
- Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
- Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
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More about this item
Keywords
Bootstrap; confidence intervals; studentization; time series regressions; prewhitening;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2002-08-16 (Econometrics)
- NEP-ETS-2002-08-16 (Econometric Time Series)
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