Testing the Martingale Difference Hypothesis
In this paper we consider testing that an economic time series follows a martingale difference process. The martingale difference hypothesis has typically been tested using information contained in the second moments of a process, that is, using test statistics based on the sample autocovariances or periodograms. Tests based on these statistics are inconsistent since they cannot detect nonlinear alternatives. In this paper we consider tests that detect linear and nonlinear alternatives. Given that the asymptotic distributions of the considered tests statistics depend on the data generating process, we propose to implement the tests using a modified wild bootstrap procedure. The paper theoretically justifies the proposed tests and examines their finite sample behavior by means of Monte Carlo experiments.
Volume (Year): 22 (2003)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/LECR20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/LECR20|
When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:22:y:2003:i:4:p:351-377. 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: ()
If references are entirely missing, you can add them using this form.