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Adaptive permutation tests for serial independence

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  • Lanh Tran
  • Ba Chu
  • Chunfeng Huang
  • Kim P. Huynh

Abstract

type="main"> Permutation tests for serial independence using three different statistics based on empirical distributions are proposed. These tests are shown to be consistent under the alternative of m-dependence and are all simple to perform in practice. A small simulation study demonstrates that the proposed tests have good power in small samples. The tests are then applied to Canadian gross domestic product (GDP data), corroborating the random-walk hypothesis of GDP growth.

Suggested Citation

  • Lanh Tran & Ba Chu & Chunfeng Huang & Kim P. Huynh, 2014. "Adaptive permutation tests for serial independence," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 68(3), pages 183-208, August.
    • Handle: RePEc:bla:stanee:v:68:y:2014:i:3:p:183-208
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    References listed on IDEAS

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