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Asymptotic Tests of Composite Hypotheses

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Paper provided by Brown University, Department of Economics in its series Working Papers with number 2003-09.

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Date of creation: 2003
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Handle: RePEc:bro:econwp:2003-09

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Postal: Department of Economics, Brown University, Providence, RI 02912

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  1. Dufour, J.-M., 1986. "Exact tests and confidence sets in linear regressions with autocorrelated errors," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1986037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Andrews, Donald W. K., 1998. "Hypothesis testing with a restricted parameter space," Journal of Econometrics, Elsevier, Elsevier, vol. 84(1), pages 155-199, May.
  3. Wolak, Frank A., 1989. "Testing inequality constraints in linear econometric models," Journal of Econometrics, Elsevier, Elsevier, vol. 41(2), pages 205-235, June.
  4. Wolak, Frank A, 1991. "The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models," Econometrica, Econometric Society, Econometric Society, vol. 59(4), pages 981-95, July.
  5. Wolak, Frank A., 1989. "Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 5(01), pages 1-35, April.
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Cited by:
  1. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the best volatility models: the model confidence set approach," Working Paper, Federal Reserve Bank of Atlanta 2003-28, Federal Reserve Bank of Atlanta.
  2. Park, Cheol-Ho & Irwin, Scott H., 2005. "A Reality Check on Technical Trading Rule Profits in US Futures Markets," 2005 Conference, April 18-19, 2005, St. Louis, Missouri, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 19039, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  3. Oliver Linton1 & Kyungchul Song & Yoon-Jae Whang, 2008. "Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary," PIER Working Paper Archive 08-006, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  4. Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers, Brown University, Department of Economics 2001-04, Brown University, Department of Economics.
  5. Chen, Le-Yu & Szroeter, Jerzy, 2014. "Testing multiple inequality hypotheses: A smoothed indicator approach," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P3), pages 678-693.
  6. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers, Brown University, Department of Economics 2003-03, Brown University, Department of Economics.
  7. repec:wyi:wpaper:002018 is not listed on IDEAS
  8. Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2010. "An improved bootstrap test of stochastic dominance," Journal of Econometrics, Elsevier, Elsevier, vol. 154(2), pages 186-202, February.
  9. Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 97-121.
  10. Yamamoto, Ryuichi, 2012. "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(11), pages 3033-3047.
  11. Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP13/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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