Tests Of The Martingale Difference Hypothesis Using Boosting And Rbf Neural Network Approximations
The martingale difference restriction is an outcome of many theoretical analyses in economics and finance. A large body of econometric literature deals with tests of that restriction. We provide new tests based on radial basis function (RBF) neural networks. Our work is based on the test design of Blake and Kapetanios (2000, 2003a, 2003b). However, unlike that work we provide a formal theoretical justification for the validity of these tests and present some new general theoretical results. These results take advantage of the link between the algorithms of Blake and Kapetanios (2000, 2003a, 2003b) and boosting. We carry out a Monte Carlo study of the properties of the new tests and find that they have very good power performance. A simplified implementation of boosting is found to have desirable properties and small computational cost. An empirical application to the S&P 500 constituents illustrates the usefulness of our new test.
Volume (Year): 26 (2010)
Issue (Month): 05 (October)
|Contact details of provider:|| Postal: |
Web page: http://journals.cambridge.org/jid_ECTEmail:
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:26:y:2010:i:05:p:1363-1397_99. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.