Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
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- Charles, Amélie & Darné, Olivier & Kim, Jae H., 2011. "Small sample properties of alternative tests for martingale difference hypothesis," Economics Letters, Elsevier, vol. 110(2), pages 151-154, February.
- Amélie Charles & Olivier Darné & Jae Kim, 2011. "Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis," Post-Print hal-00771829, HAL.
- Amélie Charles & Olivier Darné & Jae H Kim, 2010. "Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis," Working Papers 2010.07, School of Economics, La Trobe University.
References listed on IDEAS
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More about this item
Keywords
Monte Carlo experiment; Non-linear dependence; Portmanteau test; Variance ratio test EDIRC Provider-Institution: RePEc:edi:smlatau;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2011-03-26 (Econometrics)
- NEP-ETS-2011-03-26 (Econometric Time Series)
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