Variance-Ratio Tests: Small-Sample Properties with an Application to International Output Data

Stephen Cecchetti and Pok-sang Lam

Journal of Business & Economic Statistics, 1994, vol. 12, issue 2, 177-86

Abstract: Two aspects of statistical inference using variance-ratio statistics are studied, (1) the accuracy of asymptotic approximations in small samples and (2) the size distortion arising from searching over many horizons in deciding whether to reject a model. A joint test combining variance-ratio statistics at various horizons is proposed and a Monte Carlo procedure for conducting exact inference is provided. The real output data of nine countries are used to discuss these issues.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:12:y:1994:i:2:p:177-86

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