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Generalized Runs Test for the IID Hypothesis

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Author Info
Jin Seo Cho () (Department of Economics, Korea University, Seoul, South Korea)
Halbert White () (Department of Economics, University of California, San Diego, U.S.A.)

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Abstract

We provide a familiy of tests for the IID hypothesis based on generalized runs, powerful against unspecified alternatives, providing a useful complement to test designed for specific alternatives, such as serial correlation, GARCH, or structural breaks. Our tests have appealing computational simplicity in that they do not require kernel density estimation, with the associated challenge of bandwidth selection. Simulations show levels close to nominal asymptotic levels.Our tests have power against both dependent and heterogeneous alternatives, as both theory and simulations demonstrate.

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File URL: http://econ.korea.ac.kr/~ri/WorkingPapers/w0913.pdf
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Publisher Info
Paper provided by Institute of Economic Research, Korea University in its series Discussion Paper Series with number 0913.

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Length: 85 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:iek:wpaper:0913

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Related research
Keywords: IID condition; Runs test; Geometric Distribution; Gaussian process; Dependence; Structural Break;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General

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This page was last updated on 2009-11-28.

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