Adaptive permutation tests for serial independence
Chunfeng Huang and
Kim Huynh ()
Statistica Neerlandica, 2014, vol. 68, issue 3, 183-208
Permutation tests for serial independence using three different statistics based on empirical distributions are proposed. These tests are shown to be consistent under the alternative of m-dependence and are all simple to perform in practice. A small simulation study demonstrates that the proposed tests have good power in small samples. The tests are then applied to Canadian gross domestic product (GDP data), corroborating the random-walk hypothesis of GDP growth.
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