Louvain Finance Seminar: David Preinerstorfer

April 05, 2019

11:00 a.m.

CORE, b -135

Joint  Econometrics/Finance/Statistics Seminar

Enhancing Power in Asymptotic and Finite Sample Frameworks

David Preinerstorfer, ULB

In this talk I will discuss properties of the ``power enhancement principle'' recently introduced by Fan et al. (2015). The first part of the talk is concerned with asymptotic properties, more specifically with the fundamental question when their principle can actually be applied. 

In the second part of the talk I discuss how a suitably adapted version of their principle can be used to improve finite-sample power of tests when testing for (e.g., temporal or spatial) autocorrelation.

The talk is based on the articles https://arxiv.org/abs/1709.04418 (first part of the talk, joint with Anders Bredahl Kock) and https://arxiv.org/abs/1812.10752 (second part of the talk).

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