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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (50)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1765(10)00388-5
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis (2011)
Working Paper: Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:110:y:2011:i:2:p:151-154

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().