Small sample properties of alternative tests for martingale difference hypothesis (Q631280): Difference between revisions

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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Testing the Martingale Difference Hypothesis
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+An automatic portmanteau test for serial correlation
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+Generalized spectral tests for the martingale difference hypothesis
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+Wild bootstrapping variance ratio tests
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+On a measure of lack of fit in time series models
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