Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios

6 Pages Posted: 11 Feb 2005

See all articles by Jeff Fleming

Jeff Fleming

Rice University - Jesse H. Jones Graduate School of Business

Chris Kirby

UNC Charlotte - Belk College of Business

Barbara Ostdiek

Rice University - Jesse H. Jones Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: February 2005

Abstract

We develop a block bootstrap method for testing multiple inequality restrictions on variance ratios. The proposed test has reasonable size and power in the presence of strong persistence in conditional variances, making it well suited to applications in financial econometrics.

Keywords: Composite hypothesis, stationary bootstrap, least favorable configuration

JEL Classification: C12, C15

Suggested Citation

Fleming, Jeff and Kirby, Chris and Ostdiek, Barbara, Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios (February 2005). Available at SSRN: https://ssrn.com/abstract=665105 or http://dx.doi.org/10.2139/ssrn.665105

Jeff Fleming

Rice University - Jesse H. Jones Graduate School of Business ( email )

6100 South Main Street
P.O. Box 1892
Houston, TX 77005-1892
United States
713-348-4677 (Phone)
713-348-5251 (Fax)

HOME PAGE: http://www.ruf.rice.edu/~jfleming

Chris Kirby (Contact Author)

UNC Charlotte - Belk College of Business ( email )

9201 University City Boulevard
Charlotte, NC 28223
United States

Barbara Ostdiek

Rice University - Jesse H. Jones Graduate School of Business ( email )

6100 South Main Street
P.O. Box 1892
Houston, TX 77005-1892
United States
713-348-5384 (Phone)
713-348-5251 (Fax)

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