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 non-linear dependence.
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Bibliographic InfoPaper provided by School of Economics, La Trobe University in its series Working Papers with number 2010.07.
Length: 14 pages
Date of creation: Nov 2010
Date of revision:
Monte Carlo experiment; Non-linear dependence; Portmanteau test; Variance ratio test;
Other versions of this item:
- Charles, Amélie & Darné, Olivier & Kim, Jae H., 2011. "Small sample properties of alternative tests for martingale difference hypothesis," Economics Letters, Elsevier, vol. 110(2), pages 151-154, February.
- 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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