When are Variance Ratio Tests for Serial Dependence Optimal?

DOI10.2307/2951545MaRDI QIDQ4016229zbMATH OpenOpenAlexFDO

Authors Jon Faust

Publication date 9 December 1992

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2951545

zbMATH Keywords

filtered time seriesmean reversionnormalitynull of white noiseoptimal testssample varianceserially dependent alternativetime seriesvariance ratio test

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(8)

• Fractional integration and interval prediction
• An exact invariant variance ratio test.
• GMM tests for the Katz family of distributions
• The variance ratio and trend stationary model as extensions of a constrained autoregressive model
• On the asymptotic power of the variance ratio test
• A GENERALIZED VARIANCE RATIO TEST OF ARIMA (p, 1, q) MODEL SPECIFICATION
• THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
• THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK

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