Title of article
Wild bootstrapping variance ratio tests
Author/Authors
Jae H. Kim، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
6
From page
38
To page
43
Abstract
The wild bootstrap is proposed as a means of improving small sample properties of variance ratio tests. It is found that the wild bootstrap tests have desirable size properties and exhibit higher power than their alternatives in most cases.
Keywords
Conditional heteroskedasticity , Market efficiency , wild bootstrap , Monte Carlo experiment
Journal title
Economics Letters
Serial Year
2006
Journal title
Economics Letters
Record number
435967
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