Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis

Amélie Charles (), Olivier Darné and Jae Kim
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Amélie Charles: Audencia Recherche - Audencia Business School

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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
Note: View the original document on HAL open archive server: https://hal.science/hal-00771829
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Citations: View citations in EconPapers (23)

Published in Economics Letters, 2011, 110 (2), pp.151-154. ⟨10.1016/j.econlet.2010.11.018⟩

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Related works:
Journal Article: Small sample properties of alternative tests for martingale difference hypothesis (2011)
Working Paper: Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00771829

DOI: 10.1016/j.econlet.2010.11.018

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