Download This PaperBootstrap Tests of Multiple Inequality Restrictions on Variance Ratios
6 Pages Posted: 11 Feb 2005
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Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios
Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios
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: Suggested Citation
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