Article ID Journal Published Year Pages File Type
5062820 Economics Letters 2006 6 Pages PDF
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
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Bootstrap tests of multiple inequality restrictions on variance ratios
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