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Tests for m-dependence Based on Sample Splitting Methods

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  • Seongman Moon

    () (Universidad Carlos III de Madrid)

  • Carlos Velasco

    () (Universidad Carlos III de Madrid)

Abstract

This paper develops new inference methods for m-dependent data. Our approach is based on sample splitting by regular sampling of original data at lower frequencies, so that standard techniques can be used for independent data in individual subsamples. We then explore several alternatives of aggregation across subsample statistics and investigate their asymptotic and finite sample properties. We apply our methods to nonparametric tests of the predictability of excess returns in the presence of m-dependence. We also illustrate how our serial dependence tests can provide valid information for identifying particular economic alternatives when testing the expectations hypothesis in foreign exchange markets.

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File URL: ftp://163.239.165.41/RePEc/sgo/wpaper/MSM_RIME_2011-08.pdf
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Bibliographic Info

Paper provided by Research Institute for Market Economy, Sogang University in its series Working Papers with number 1108.

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Length: 51 pages
Date of creation: Aug 2011
Date of revision:
Handle: RePEc:sgo:wpaper:1108

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Related research

Keywords: m-dependence; sample splitting; pooled method; Wald method; minimum/maximum/median method; expectations hypothesis.;

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  1. Michael Jansson & Marcelo J. Moreira, 2004. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Harvard Institute of Economic Research Working Papers 2047, Harvard - Institute of Economic Research.
  2. Andrew W. Lo & A. Craig MacKinlay, 1988. "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," NBER Technical Working Papers 0066, National Bureau of Economic Research, Inc.
  3. John Y. Campbell, 1991. "A Variance Decomposition for Stock Returns," NBER Working Papers 3246, National Bureau of Economic Research, Inc.
  4. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2009. "Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium," Review of Economic Studies, Oxford University Press, vol. 76(3), pages 851-878.
  5. Seongman Moon & Carlos Velasco, 2011. "The Forward Discount Puzzle: Identi cation of Economic Assumptions," Working Papers 1112, Research Institute for Market Economy, Sogang University.
  6. Hidalgo, Javier & Zaffaroni, Paolo, 2007. "A goodness-of-fit test for ARCH([infinity]) models," Journal of Econometrics, Elsevier, vol. 141(2), pages 835-875, December.
  7. Corradi, Valentina & Iglesias, Emma M., 2008. "Bootstrap refinements for QML estimators of the GARCH(1,1) parameters," Journal of Econometrics, Elsevier, vol. 144(2), pages 500-510, June.
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