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Small sample properties of alternative tests for martingale difference hypothesis

Amelie Charles, Olivier Darné and Jae Kim ()

Economics Letters, 2011, vol. 110, issue 2, 151-154

Abstract: A Monte Carlo experiment is conducted to compare power properties of alternative tests for the martingale difference hypothesis. Overall, we find that the wild bootstrap automatic variance ratio test shows the highest power against linear dependence; while the generalized spectral test performs most desirably under nonlinear dependence.

Keywords: Monte; Carlo; experiment; Nonlinear; dependence; Portmanteau; test; Variance; ratio; test (search for similar items in EconPapers)
Date: 2011
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Related works:
Working Paper: Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis (2011) Downloads
Working Paper: Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis (2010) Downloads
Working Paper: Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis (2010) Downloads
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