We analyze the accuracy of the Lee / Ready (1991) trade classification algorithm and the simpler tick test. Our definition of true trade classification is based on whether the Makler (the equivalent of the specialist on the Frankfurt Stock Exchange) bought or sold shares. The Lee / Ready method classifies only 72.8% of the transactions correctly. The simpler tick test performs almost equally we...

In this paper we provide analytical, simulation, and empirical evidence on a test of equal economic value from competing predictive models of asset returns. We define economic value using the concept of a performance fee — the amount an investor would be willing to pay to have access to an alternative predictive model that is used to make investment decisions. We establish that this fee can be ...

In regression models, appropriate bootstrap methods for inference robust to heteroskedasticity of unknown form are the wild bootstrap and the pairs bootstrap. The finite sample performance of a heteroskedastic-robust test is investigated with Monte Carlo experiments. The simulation results suggest that one specific version of the wild bootstrap outperforms the other versions of the wild bootstr...

This paper documents the patterns and examines the factors contributing to a gender gap in educational achievements in early seventh grade of schooling using a recent and nationally representative panel of Australian children. Regression results indicate that females excel at non-numeracy subjects at later grades whereas males outperform females in numeracy in all grades, whether at the mean or...

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal dummy variables. Finite-sample critical values of the tests are computed and, an empirical applicati...

This paper introduces a Lagrange Multiplier (LM) test for testing an autoregressive structure in a binary time series model proposed by Kauppi and Saikkonen (2008). Simulation results indicate that the two versions of the proposed LM test have reasonable size and power properties when the sample size is large. A parametric bootstrap method is suggested to obtain approximately correct sizes also...

  This paper examines impact of trade liberalization on industrial growth of India. The research problem is expressed as “To what extent does trade liberalization or openness of the economy influence industrial growth of India?” To identify the impacts of trade liberalization, total time period, 1970-2010, is divided into two sub periods of before trade liberalization i.e. (1970 to 1990) an...

in this research, the attempt was made to test the existence of the natural rate hypothesis in iran, by using a johansson cointegration test. the results do not reveal any long run relationship between inflation and unemployment in iran for 1340-1386 periods. because of the time varying nature of nairu, the hp filter was applied to estimate the time series of nairu. comparing the nairu time ser...

JEL CLASSIFICATION C26, C99, D03, I18. PSYCINFO CLASSIFICATION 2360; 3920.

Context. Among optical stellar interferometers, the CHARA Array located at Mt Wilson in California offers the potential of very long baselines (up to 330 m) and the prospect of coupling multiple beam combiners. This paper presents the principle and the measured performance of VEGA, Visible spEctroGraph and polArimeter installed in September 2007 at the coherent focus of the array. Aims. With 0....