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

causalitytestingrandom walkforecastingexchange rateefficient markets

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

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