A collection of statistical tests for martingale difference hypothesis, including automatic portmanteau test (Escansiano and Lobato, 2009) <doi:10.1016/j.jeconom.2009.03.001> and automatic variance ratio test (Kim, 2009) <doi:10.1016/j.frl.2009.04.003>.
Cited in
(4)- A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
- SYMARMA
- Detecting randomness: a review of existing tests with new comparisons
- Change points and temporal dependence in reconstructions of annual temperature: did Europe experience a little ice age?
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