An exact invariant variance ratio test.

DOI10.1016/S0165-1765(01)00617-6MaRDI QIDQ1605263zbMATH OpenOpenAlexFDO

Authors Philip A. Shively

Publication date 15 July 2002

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(01)00617-6

zbMATH Keywords

Exact small-sample inferenceMean invariantRandom walkVariance ratio test statistic

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• scientific article; zbMATH DE number 3562245 (Why is no real title available?)
• Robust tests for spherical symmetry and their application to least squares regression
• When are Variance Ratio Tests for Serial Dependence Optimal?

Cited in

(7)

• A simple multiple variance ratio test
• A new fluctuation test for constant variances with applications to finance
• When are Variance Ratio Tests for Serial Dependence Optimal?
• The Variance Ratio Test with Stable Paretian Errors
• A small‐sample overlapping variance‐ratio test
• A Combined Invariant Test for a Null Variance Ratio
• The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test

Describes a project that uses

Uses Software

• AS 155

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