Small sample properties of alternative tests for martingale difference hypothesis

DOI10.1016/j.econlet.2010.11.018zbMath1209.62199MaRDI QIDQ631280

Juan-Miguel Gracia

Publication date: 22 March 2011

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2010.11.018

zbMATH Keywords

Monte Carlo experiment; nonlinear dependence; portmanteau test; variance ratio test

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

65C05: Monte Carlo methods

62M07: Non-Markovian processes: hypothesis testing