Local Power of Andrews and Ploberger Tests Against Nearly Integrated, Nearly White Noise Process
We find that the Andrews and Ploberger’s (1996) tests have unit local power against the nearly integrated, nearly white noise process (ref. Nabeya and Perron (1994)). Therefore, compared with the stationary local alternatives, higher power is expected when testing against such process. Monte Carlo simulation confirms our results. We apply the tests to monthly SP500 stock returns and strongly reject the martingale difference hypothesis.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||May 2006|
|Contact details of provider:|| Postal: 270 Bay State Road, Boston, MA 02215|
Web page: http://www.bu.edu/econ/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Donald W.K. Andrews & Werner Ploberger, 1994. "Testing for Serial Correlation Against an ARMA(1,1) Process," Cowles Foundation Discussion Papers 1077, Cowles Foundation for Research in Economics, Yale University.
- Pierre Perron & Serena Ng, 1996.
"Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties,"
Review of Economic Studies,
Oxford University Press, vol. 63(3), pages 435-463.
- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche 9427, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche 9427, Universite de Montreal, Departement de sciences economiques.
- Nabeya, Seiji & Perron, Pierre, 1994. "Local asymptotic distribution related to the AR(1) model with dependent errors," Journal of Econometrics, Elsevier, vol. 62(2), pages 229-264, June.
- Nabeya, S. & Perron, P., 1991. "Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors," Papers 362, Princeton, Department of Economics - Econometric Research Program.
- Maxwell L. King & Michael McAleer, 1987. "Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model," Review of Economic Studies, Oxford University Press, vol. 54(4), pages 649-663.
- Ai Deng, 2013. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 122-150, December.
- Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:bos:wpaper:wp2006-027. 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: (Gillian Gurish)
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.