EconPapers    
Economics at your fingertips  
 

Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

Sermin Gungor and Richard Luger

Staff Working Papers from Bank of Canada

Abstract: We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear regression models. The framework allows for unknown forms of non-normalities, and time-varying conditional variances and covariances among the model disturbances. We derive exact bounds on the null distribution of joint F statistics in order to deal with the presence of nuisance parameters, and we show how to implement the resulting generalized non-parametric bounds tests with Monte Carlo resampling techniques. In sharp contrast to the usual tests that are not computable when the number of test assets is too large, the power of the new test procedure potentially increases along both the time and cross-sectional dimensions.

Keywords: Asset Pricing; Econometric and statistical methods; Financial markets (search for similar items in EconPapers)
JEL-codes: C12 C15 C33 G11 G12 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2013
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.bankofcanada.ca/wp-content/uploads/2013/05/wp2013-16.pdf

Related works:
Journal Article: Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances (2016) Downloads
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:bca:bocawp:13-16

Access Statistics for this paper

More papers in Staff Working Papers from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2023-01-25
Handle: RePEc:bca:bocawp:13-16