A simple multiple variance ratio test

DOI10.1016/0304-4076(93)90051-6MaRDI QIDQ1260679zbMATH OpenOpenAlexFDO

Authors K. Victor Chow, Karen C. Denning

Publication date 25 August 1993

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(93)90051-6

zbMATH Keywords

unit root testsMonte Carlo resultsARIMA(1,1,0)ARIMA(1,1,1)large Type I errorsrandom walk hypothesesstationary alternativesstationary AR(1) alternativetesting multiple variance ratios

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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• scientific article; zbMATH DE number 3305572 (Why is no real title available?)
• A General Method for Constructing Simultaneous Confidence Intervals
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A table of percentage points of the distribution of the largest absolute value of k Student t variates and its applications
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Long-Term Memory in Stock Market Prices
• Nonlinear Regression with Dependent Observations
• Rectangular Confidence Regions for the Means of Multivariate Normal Distributions
• Some generalizations of the T-method in simultaneous inference
• Testing for a unit root in time series regression
• Testing the random walk hypothesis: power versus frequency of observation
• Time Series Regression with a Unit Root
• Trends and random walks in macroeconomic time series
• Two-Sided Screening Procedures in the Bivariate Case

Cited in

(25)

• Tests of random walk: A comparison of bootstrap approaches
• Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity
• An exact invariant variance ratio test.
• A procedure for testing the hypothesis of weak efficiency in financial markets: a Monte Carlo simulation
• Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
• A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
• A Combined Invariant Test for a Null Variance Ratio
• Weak form efficiency of selected European stock markets: alternative testing approaches
• A nonparametric test for deviation from randomness with applications to stock market index data
• When are Variance Ratio Tests for Serial Dependence Optimal?
• SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET
• Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
• Clustering financial time series with variance ratio statistics
• Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules
• Detecting randomness: a review of existing tests with new comparisons
• ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
• A small‐sample overlapping variance‐ratio test
• Temporal aggregation of random walk processes and implications for economic analysis
• New variance ratio tests to identify random walk from the general mean reversion model
• Long-term and short-term price memory in the stock market
• Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets
• A multiple variance ratio test using subsampling
• THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
• Wild bootstrapping variance ratio tests
• On the asymptotic power of the variance ratio test

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