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An exact invariant variance ratio test

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  • Shively, Philip A.
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    File URL: http://www.sciencedirect.com/science/article/B6V84-44VX2J7-2/2/d2fe48594494e05ef81949cd9cf3816b
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 75 (2002)
    Issue (Month): 3 (May)
    Pages: 347-353

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    Handle: RePEc:eee:ecolet:v:75:y:2002:i:3:p:347-353

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    Web page: http://www.elsevier.com/locate/ecolet

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    1. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
    2. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
    3. Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February.
    4. Faust, Jon, 1992. "When Are Variance Ratio Tests for Serial Dependence Optimal?," Econometrica, Econometric Society, vol. 60(5), pages 1215-26, September.
    5. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
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    Cited by:
    1. Amélie Charles & Olivier Darne, 2009. "Variance ratio tests of random walk: An overview," Post-Print hal-00771078, HAL.

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