When Are Variance Ratio Tests for Serial Dependence Optimal?
AbstractThis paper considers a class of statistics that can be written as the ratio of the sample variance of a filtered time series to the sample variance of the original series. Any such statistic is shown to be optimal under normality for testing a null of white noise against some class of serially dependent alternatives. A simple characterization of the alternative class is provided. The results are used to show that a variance ratio test for mean reversion is an optimal test and to illustrate the forms of mean reversion it is best at detecting. Copyright 1992 by The Econometric Society.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 60 (1992)
Issue (Month): 5 (September)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Asger Lunde & Allan Timmermann, 2000.
"Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets,"
Econometric Society World Congress 2000 Contributed Papers
1216, Econometric Society.
- Lunde A. & Timmermann A., 2004. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 253-273, July.
- Lunde, Asger & Timmermann, Allan G, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers.
- Diebold, Francis X. & Lindner, Peter, 1996. "Fractional integration and interval prediction," Economics Letters, Elsevier, vol. 50(3), pages 305-313, March.
- Graflund, Andreas, 2001. "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers 2001:8, Lund University, Department of Economics.
- Choi, In, 1999. "Testing the Random Walk Hypothesis for Real Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 293-308, May-June.
- Deo, Rohit S. & Chen, Willa W., 2003. "The Variance Ratio Statistic at Large Horizons," Papers 2004,04, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
- Patrick A. Groenendijk & André Lucas & Casper G. de Vries, 1998. "A Hybrid Joint Moment Ratio Test for Financial Time Series," Tinbergen Institute Discussion Papers 98-104/2, Tinbergen Institute.
- Campbell, John Y., 2001.
"Why long horizons? A study of power against persistent alternatives,"
Journal of Empirical Finance,
Elsevier, vol. 8(5), pages 459-491, December.
- Campbell, John, 2001. "Why Long Horizons? A Study of Power Against Persistent Alternatives," Scholarly Articles 3196341, Harvard University Department of Economics.
- John Y. Campbell, 1993. "Why Long Horizons: A Study of Power Against Persistent Alternatives," NBER Technical Working Papers 0142, National Bureau of Economic Research, Inc.
- Shively, Philip A., 2002. "An exact invariant variance ratio test," Economics Letters, Elsevier, vol. 75(3), pages 347-353, May.
- Daniel, Kent, 2001. "The power and size of mean reversion tests," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 493-535, December.
- Amélie Charles & Olivier Darné, 2009.
"Variance-Ratio Tests Of Random Walk: An Overview,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 23(3), pages 503-527, 07.
- Benjamin Miranda Tabak & Eduardo José Araújo Lima, 2002. "The Effects of the Brazilian ADRs Program on Domestic Market Efficiency," Working Papers Series 43, Central Bank of Brazil, Research Department.
- Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
- Willa Chen & Rohit Deo, 2005.
"The Variance Ratio Statistic at large Horizons,"
- Simone Bianco & Roberto Ren\'o, 2006. "Unexpected volatility and intraday serial correlation," Papers physics/0610023, arXiv.org.
- Ronen, Tavy, 1998. "Trading structure and overnight information: A natural experiment from the Tel-Aviv Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 489-512, May.
- Wang, Yuming & Ma, Jinpeng, 2014. "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 1-16.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.