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Generalized runs tests for the IID hypothesis

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  • Cho, Jin Seo
  • White, Halbert

Abstract

We provide a family of tests for the IID hypothesis based on generalized runs, powerful against unspecified alternatives, providing a useful complement to tests designed for specific alternatives, such as serial correlation, GARCH, or structural breaks. Our tests have appealing computational simplicity in that they do not require kernel density estimation, with the associated challenge of bandwidth selection. Simulations show levels close to nominal asymptotic levels. Our tests have power against both dependent and heterogeneous alternatives, as both theory and simulations demonstrate.

Suggested Citation

  • Cho, Jin Seo & White, Halbert, 2011. "Generalized runs tests for the IID hypothesis," Journal of Econometrics, Elsevier, vol. 162(2), pages 326-344, June.
    • Handle: RePEc:eee:econom:v:162:y:2011:i:2:p:326-344
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    Cited by:

    1. Jin Seo Cho & Jin Seok Park & Sang Woo Park, 2018. "Testing for the Conditional Geometric Mixture Distribution," Working papers 2018rwp-123, Yonsei University, Yonsei Economics Research Institute.
    2. Cho, Jin Seo & Phillips, Peter C.B., 2018. "Pythagorean generalization of testing the equality of two symmetric positive definite matrices," Journal of Econometrics, Elsevier, vol. 202(1), pages 45-56.
    3. Lijuan Huo & Jin Seo Cho, 2021. "Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(2), pages 293-317, June.
    4. Lijuan Huo & Jin Seo Cho, 2019. "Testing for the Sandwich-Form Covariance Matrix Applied to Quasi-Maximum Likelihood Estimation Using Economic and Energy Price Growth Rates," Working papers 2019rwp-152, Yonsei University, Yonsei Economics Research Institute.
    5. Hiroaki Kaido & Yi Zhang, 2019. "Robust Likelihood Ratio Tests for Incomplete Economic Models," Papers 1910.04610, arXiv.org, revised Dec 2019.
    6. Naveed Chehrazi & Thomas A. Weber, 2015. "Dynamic Valuation of Delinquent Credit-Card Accounts," Management Science, INFORMS, vol. 61(12), pages 3077-3096, December.
    7. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
    8. Hentati-Kaffel, Rania & de Peretti, Philippe, 2015. "Generalized runs tests to detect randomness in hedge funds returns," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 608-615.

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    More about this item

    Keywords

    IID condition Runs test Geometric distribution Gaussian process Dependence Structural break;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General

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