Tests for m-dependence based on sample splitting methods

Seongman Moon and Carlos Velasco

Journal of Econometrics, 2013, vol. 173, issue 2, 143-159

Abstract: This paper develops new test methods for m-dependent data. Our approach is based on sample splitting by regular sampling of the original data at lower frequencies, so that standard techniques for testing independence can be used for each individual subsample. We then propose several alternative statistics that aggregate information across subsamples and investigate their asymptotic and finite sample properties. We apply our methods to test the predictability of excess returns in foreign exchange markets. We also illustrate how our serial dependence tests can provide useful 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)
Date: 2013
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Citations: View citations in EconPapers (1)

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Working Paper: Tests for m-dependence Based on Sample Splitting Methods (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:173:y:2013:i:2:p:143-159

DOI: 10.1016/j.jeconom.2012.11.005

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