Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability

Eduardo Lima () and Benjamin Tabak

No 151, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: 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, by applying the methods developed by Hall et al. (1995) and by Politis and White (2004). By comparing the results of the different methods using Monte Carlo simulations, we conclude 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.

Date: 2007-11
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps151.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:151

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().