Tests of RandomWalk: A Comparison of Bootstrap Approaches

Detalhes bibliográficos
Autor(a) principal: Lima, Eduardo José Araújo
Data de Publicação: 2009
Outros Autores: Tabak, Benjamin Miranda
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/363
https://repositorio.ucb.br:9443/jspui/handle/123456789/7608
Resumo: This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions. It also analyzes the crucial issue of selecting optimal block sizes when block bootstrap procedures are used. The comparison of the different approaches using Monte Carlo simulations leads to the conclusion that methodologies using block bootstrap methods present better performance for the construction of empirical distributions of the variance ratio test.Moreover, the results are highly sensitive to methods employed to test the null hypothesis of random walk.
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spelling Lima, Eduardo José AraújoTabak, Benjamin Miranda2016-10-10T03:52:04Z2016-10-10T03:52:04Z2009LIMA, Eduardo José Araújo; TABAK, Benjamin Miranda. Tests of Random Walk: A Comparison of Bootstrap Approaches. Computational Economics, p. 1, 2009.http://twingo.ucb.br:8080/jspui/handle/10869/363https://repositorio.ucb.br:9443/jspui/handle/123456789/7608This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions. It also analyzes the crucial issue of selecting optimal block sizes when block bootstrap procedures are used. The comparison of the different approaches using Monte Carlo simulations leads to the conclusion that methodologies using block bootstrap methods present better performance for the construction of empirical distributions of the variance ratio test.Moreover, the results are highly sensitive to methods employed to test the null hypothesis of random walk.Made available in DSpace on 2016-10-10T03:52:04Z (GMT). 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dc.title.pt_BR.fl_str_mv Tests of RandomWalk: A Comparison of Bootstrap Approaches
title Tests of RandomWalk: A Comparison of Bootstrap Approaches
spellingShingle Tests of RandomWalk: A Comparison of Bootstrap Approaches
Lima, Eduardo José Araújo
Resample
Bootstrap
Variance ratio
Random walk
title_short Tests of RandomWalk: A Comparison of Bootstrap Approaches
title_full Tests of RandomWalk: A Comparison of Bootstrap Approaches
title_fullStr Tests of RandomWalk: A Comparison of Bootstrap Approaches
title_full_unstemmed Tests of RandomWalk: A Comparison of Bootstrap Approaches
title_sort Tests of RandomWalk: A Comparison of Bootstrap Approaches
author Lima, Eduardo José Araújo
author_facet Lima, Eduardo José Araújo
Tabak, Benjamin Miranda
author_role author
author2 Tabak, Benjamin Miranda
author2_role author
dc.contributor.author.fl_str_mv Lima, Eduardo José Araújo
Tabak, Benjamin Miranda
dc.subject.por.fl_str_mv Resample
Bootstrap
Variance ratio
Random walk
topic Resample
Bootstrap
Variance ratio
Random walk
dc.description.abstract.por.fl_txt_mv This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions. It also analyzes the crucial issue of selecting optimal block sizes when block bootstrap procedures are used. The comparison of the different approaches using Monte Carlo simulations leads to the conclusion that methodologies using block bootstrap methods present better performance for the construction of empirical distributions of the variance ratio test.Moreover, the results are highly sensitive to methods employed to test the null hypothesis of random walk.
dc.description.status.pt_BR.fl_txt_mv Publicado
description This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions. It also analyzes the crucial issue of selecting optimal block sizes when block bootstrap procedures are used. The comparison of the different approaches using Monte Carlo simulations leads to the conclusion that methodologies using block bootstrap methods present better performance for the construction of empirical distributions of the variance ratio test.Moreover, the results are highly sensitive to methods employed to test the null hypothesis of random walk.
publishDate 2009
dc.date.issued.fl_str_mv 2009
dc.date.accessioned.fl_str_mv 2016-10-10T03:52:04Z
dc.date.available.fl_str_mv 2016-10-10T03:52:04Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
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dc.identifier.citation.fl_str_mv LIMA, Eduardo José Araújo; TABAK, Benjamin Miranda. Tests of Random Walk: A Comparison of Bootstrap Approaches. Computational Economics, p. 1, 2009.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/363
https://repositorio.ucb.br:9443/jspui/handle/123456789/7608
identifier_str_mv LIMA, Eduardo José Araújo; TABAK, Benjamin Miranda. Tests of Random Walk: A Comparison of Bootstrap Approaches. Computational Economics, p. 1, 2009.
url http://twingo.ucb.br:8080/jspui/handle/10869/363
https://repositorio.ucb.br:9443/jspui/handle/123456789/7608
dc.language.iso.fl_str_mv eng
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