We propose a pretest, bootstrap Kolmogorov-Smirnov test, to differentiate between weak and nearly-weak asymptotics. This is based on bootstrapping Wald Continuous Updating Estimator (CUE) based test. Since Wald CUE test has different limits under weak and nearly-weak cases this can be used in a pretest. We also conduct some simulations and show that some of the asset pricing models conform to nearly-weak asymptotics.
Diğer ID | JA74KC83VM |
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Bölüm | Makaleler |
Yazarlar | |
Yayımlanma Tarihi | 1 Aralık 2011 |
Gönderilme Tarihi | 1 Aralık 2011 |
Yayımlandığı Sayı | Yıl 2011 Cilt: 3 Sayı: 2 |