An exact invariant variance ratio test.

DOI10.1016/S0165-1765(01)00617-6zbMATH Open1041.91049OpenAlexW2036660808MaRDI QIDQ1605263FDOQ1605263

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

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zbMATH Keywords

Random walkExact small-sample inferenceMean invariantVariance ratio test statistic

Mathematics Subject Classification ID

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

Cites Work

• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Robust tests for spherical symmetry and their application to least squares regression
• Title not available (Why is that?)
• When are Variance Ratio Tests for Serial Dependence Optimal?

Cited In (7)

• A Combined Invariant Test for a Null Variance Ratio
• 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
• The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test
• A small‐sample overlapping variance‐ratio test
• A simple multiple variance ratio test

Uses Software

• AS 155

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