Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
AbstractIn this paper, finite-sample nonparametric tests of conditional independence and random walk are extended to allow for an unknown drift parameter. The tests proposed are based on simultaneous inference methods and remain exact in the presence of general forms of feedback, nonnormality and heterskedasticity. Further, in two simulation studies, the authors confirm that the nonparametric procedures are reliable and find that they display power comparable or superior to that of conventional tests. Copyright 1997 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoPaper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9407.
Date of creation: 1994
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Other versions of this item:
- Campbell, Bryan & Dufour, Jean-Marie, 1997. "Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(1), pages 151-73, February.
- Campbell, B. & Dufour, J.M., 1994. "Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter," Cahiers de recherche 9407, Universite de Montreal, Departement de sciences economiques.
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