Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios
Posted: 13 Dec 2005
There are 2 versions of this paper
Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios
Number of pages: 6
Posted: 11 Feb 2005
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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: Suggested Citation
Fleming, Jeff and Kirby, Chris and Ostdiek, Barbara, Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios. Economics Letters, Forthcoming. Available at SSRN: https://ssrn.com/abstract=862425
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