A New Test of the Martingale Difference Hypothesis

DOI10.2202/1558-3708.1191zbMath1082.62539OpenAlexW2020796096MaRDI QIDQ3368357

Wei-Ming Lee, Chung-Ming Kuan

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1191

zbMATH Keywords

martingale differenceautocorrelation-based testBieren's equivalence resultspectrum-based test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

Unnamed Item ⋮ Generalized ARMA models with martingale difference errors ⋮ Weighted resampling of martingale difference arrays with applications ⋮ Testing for Granger-causality in quantiles ⋮ Fourier–type tests involving martingale difference processes

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