C12 - Hypothesis Testing: General

• A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data

  Staff Working Paper 2001-21 Fuchun Li, Greg Tkacz

  This paper describes a new test for evaluating conditional density functions that remains valid when the data are time-dependent and that is therefore applicable to forecasting problems. We show that the test statistic is asymptotically distributed standard normal under the null hypothesis, and diverges to infinity when the null hypothesis is false.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C15, E, E3, E37

• Testing for a Structural Break in the Volatility of Real GDP Growth in Canada

  Staff Working Paper 2001-9 Alexandre Debs

  This study tests for a structural break in the volatility of real GDP growth in Canada following the methodology of McConnell and Quiros (1998). A break is found in the first quarter of 1991.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E3, E32

• Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity

  Staff Working Paper 2001-2 Richard Luger

  This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasticity.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22