Small sample properties of alternative tests for martingale difference hypothesis

DOI10.1016/J.ECONLET.2010.11.018MaRDI QIDQ631280zbMATH OpenOpenAlexFDO

Authors 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 experimentnonlinear dependenceportmanteau testvariance ratio test

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cites work

• An automatic portmanteau test for serial correlation
• Generalized spectral tests for the martingale difference hypothesis
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• On a measure of lack of fit in time series models
• Testing the Martingale Difference Hypothesis
• Wild bootstrapping variance ratio tests

Cited in

(14)

• Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
• A New Test of the Martingale Difference Hypothesis
• A Test of the Martingale Hypothesis
• A monte carlo analysis of two spectral tests of the martingale hypothesis
• Tests of Homogeneity under Small Grouping. Martingale Limit Theorems
• Testing the Martingale Difference Hypothesis
• Change points and temporal dependence in reconstructions of annual temperature: did Europe experience a little ice age?
• Clustering financial time series with variance ratio statistics
• Fourier–type tests involving martingale difference processes
• SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure
• A Berry–Esseen theorem for sample quantiles under martingale difference sequences
• Positive time series regression models: theoretical and computational aspects
• A Matsuoka-based GARMA model for environmental and energy systems: theory, estimation, and applications
• The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency

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