Testing the Martingale Hypothesis

DOI10.1080/07350015.2014.908780MaRDI QIDQ6666994zbMATH OpenFDO

Authors Peter C. B. Phillips, Sainan Jin

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2014.908780

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Nonparametric hypothesis testing (62G10) Economic time series analysis (91B84)

Cited in

(3)

• Empirical martingale projections via the adapted Wasserstein distance
• Weighted portmanteau statistics for testing for zero autocorrelation in dependent data
• Generalized Spectral Tests for Multivariate Martingale Difference Hypotheses

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