Small sample properties of alternative tests for martingale difference hypothesis
A 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 nonlinear dependence.
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- Andrew W. Lo, A. Craig MacKinlay, 1988.
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- repec:cte:wsrepe:ws035212 is not listed on IDEAS
- Kim, Jae H., 2009. "Automatic variance ratio test under conditional heteroskedasticity," Finance Research Letters, Elsevier, vol. 6(3), pages 179-185, September.
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