Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238796 
Authors: 
Year of Publication: 
2011
Citation: 
[Journal:] International Econometric Review (IER) [ISSN:] 1308-8815 [Volume:] 3 [Issue:] 2 [Publisher:] Econometric Research Association (ERA) [Place:] Ankara [Year:] 2011 [Pages:] 13-21
Publisher: 
Econometric Research Association (ERA), Ankara
Abstract: 
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.
Subjects: 
Bootstrap
Kolmogorov-Smirnov Test
JEL: 
C11
C20
C30
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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