Small sample properties of alternative tests for martingale difference hypothesis
AbstractA Monte Carlo experiment is conducted to compare power properties of alternative tests for the martingale difference hypothesis. Overall, we find that the wild bootstrap automatic variance ratio test shows the highest power against linear dependence; while the generalized spectral test performs most desirably under nonlinear dependence.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 110 (2011)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/locate/ecolet
Monte Carlo experiment Nonlinear dependence Portmanteau test Variance ratio test;
Other versions of this item:
- Amélie Charles & Olivier Darné & Jae H Kim, 2010. "Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis," Working Papers 2010.07, School of Economics, La Trobe University.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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