Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis

DOI10.1016/j.jeconom.2005.07.014zbMath1418.62433MaRDI QIDQ291848

Kenneth D. West, Todd E. Clark

Publication date: 10 June 2016

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

zbMATH Keywords

causality; testing; random walk; forecasting; exchange rate; efficient markets

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

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