Advanced Search
MyIDEAS: Login to save this article or follow this journal

Data-driven smooth tests for the martingale difference hypothesis

Contents:

Author Info

  • Escanciano, Juan Carlos
  • Mayoral, Silvia

Abstract

A general method for testing the martingale difference hypothesis is proposed. The new tests are data-driven smooth tests based on the principal components of certain marked empirical processes that are asymptotically distribution-free, with critical values that are already tabulated. The smooth tests are shown to be optimal in a semiparametric sense discussed in the paper, and they are robust to conditional heteroscedasticity of unknown form. A simulation study shows that the data-driven smooth tests perform very well for a wide range of realistic alternatives and have more power than omnibus and other competing tests. Finally, an application to the S&P 500 stock index and some of its components highlights the merits of our approach. The paper also contains a new weak convergence theorem that is of independent interest.

Download Info

If 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.
File URL: http://www.sciencedirect.com/science/article/B6V8V-4YJ4N4C-2/2/9c6555f2ef39031c86385c64adfcda71
Download Restriction: Full text for ScienceDirect subscribers only.

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 Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 54 (2010)
Issue (Month): 8 (August)
Pages: 1983-1998

as in new window
Handle: RePEc:eee:csdana:v:54:y:2010:i:8:p:1983-1998

Contact details of provider:
Web page: http://www.elsevier.com/locate/csda

Related research

Keywords: Nonlinear time series Empirical processes Pivotal tests Neyman's tests Semiparametric efficiency Market efficiency;

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Escanciano, J. Carlos, 2009. "On The Lack Of Power Of Omnibus Specification Tests," Econometric Theory, Cambridge University Press, vol. 25(01), pages 162-194, February.
  2. Deo, Rohit S., 2000. "Spectral tests of the martingale hypothesis under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 99(2), pages 291-315, December.
  3. George Kapetanios & Andrew P. Blake, 2007. "Testing the Martingale Difference Hypothesis Using Neural Network Approximations," Working Papers 601, Queen Mary, University of London, School of Economics and Finance.
  4. Ferreira, E. & Stute, W., 2004. "Testing for Differences Between Conditional Means in a Time Series Context," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 169-174, January.
  5. Steven N. Durlauf, 1992. "Spectral Based Testing of the Martingale Hypothesis," NBER Technical Working Papers 0090, National Bureau of Economic Research, Inc.
  6. Guay, Alain & Guerre, Emmanuel, 2006. "A Data-Driven Nonparametric Specification Test For Dynamic Regression Models," Econometric Theory, Cambridge University Press, vol. 22(04), pages 543-586, August.
  7. Miguel A. Delgado & Javier Hidalgo & Carlos Velasco, 2005. "Distribution Free Goodness-of-Fit Tests for Linear Processes," STICERD - Econometrics Paper Series /2005/482, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  8. Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
  9. Escanciano, J. Carlos, 2006. "Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 531-541, June.
  10. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Generalized spectral tests for the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 134(1), pages 151-185, September.
  11. Juan Carlos Escanciano, 2005. "On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions," Faculty Working Papers 07/05, School of Economics and Business Administration, University of Navarra.
  12. Fan J. & Huang L-S., 2001. "Goodness-of-Fit Tests for Parametric Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 640-652, June.
  13. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July.
  14. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Testing the martingale difference hypothesis using integrated regression functions," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2278-2294, December.
  15. Stute, W. & Presedo Quindimil, M. & González Manteiga, W. & Koul, H.L., 2006. "Model checks of higher order time series," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1385-1396, July.
  16. R. L. Eubank, 2000. "Testing for No Effect by Cosine Series Methods," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 27(4), pages 747-763.
  17. Manuel A. Dominguez & Ignacio N. Lobato, 2001. "A Consistent Test for the Martingale Difference Hypothesis," Working Papers 0101, Centro de Investigacion Economica, ITAM.
  18. Hervé Cardot, 2003. "Testing Hypotheses in the Functional Linear Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 30(1), pages 241-255.
  19. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.
  20. Winfried Stute, 2002. "Model Checks for Generalized Linear Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 29(3), pages 535-545.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Teresa Ledwina & Grzegorz Wyłupek, 2012. "Nonparametric tests for stochastic ordering," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 21(4), pages 730-756, December.
  2. Hsu, Shih-Hsun & Kuan, Chung-Ming, 2014. "Constructing smooth tests without estimating the eigenpairs of the limiting process," Journal of Econometrics, Elsevier, vol. 178(P1), pages 71-79.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:54:y:2010:i:8:p:1983-1998. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

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.