Tests for m-dependence Based on Sample Splitting Methods

Seongman Moon and Carlos Velasco

No 1108, Working Papers from Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)

Abstract: This paper develops new inference methods for m-dependent data. Our approach is based on sample splitting by regular sampling of original data at lower frequencies, so that standard techniques can be used for independent data in individual subsamples. We then explore several alternatives of aggregation across subsample statistics and investigate their asymptotic and finite sample properties. We apply our methods to nonparametric tests of the predictability of excess returns in the presence of m-dependence. We also illustrate how our serial dependence tests can provide valid information for identifying particular economic alternatives when testing the expectations hypothesis in foreign exchange markets.

Keywords: m-dependence; sample splitting; pooled method; Wald method; minimum/maximum/median method; expectations hypothesis. (search for similar items in EconPapers)
JEL-codes: C14 F31 F37 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2011-08
New Economics Papers: this item is included in nep-ecm
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https://tinyurl.com/yw4rffem First version, 2011 (application/pdf)

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Journal Article: Tests for m-dependence based on sample splitting methods (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:sgo:wpaper:1108

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