EconPapers    
Economics at your fingertips  
 

Generalized Runs Test for the IID Hypothesis

Jin Seo Cho () and Halbert White

No 913, Discussion Paper Series from Institute of Economic Research, Korea University

Abstract: We provide a familiy of tests for the IID hypothesis based on generalized runs, powerful against unspecified alternatives, providing a useful complement to test designed for specific alternatives, such as serial correlation, GARCH, or structural breaks. Our tests have appealing computational simplicity in that they do not require kernel density estimation, with the associated challenge of bandwidth selection. Simulations show levels close to nominal asymptotic levels.Our tests have power against both dependent and heterogeneous alternatives, as both theory and simulations demonstrate.

Keywords: IID condition; Runs test; Geometric Distribution; Gaussian process; Dependence; Structural Break (search for similar items in EconPapers)
JEL-codes: C12 C23 C80 (search for similar items in EconPapers)
Pages: 85 pages
Date: 2009
New Economics Papers: this item is included in nep-ets
References: Add references at CitEc
Citations:

Downloads: (external link)
http://econ.korea.ac.kr/~ri/WorkingPapers/w0913.pdf (application/pdf)

Related works:
Journal Article: Generalized runs tests for the IID hypothesis (2011) Downloads
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:iek:wpaper:0913

Access Statistics for this paper

More papers in Discussion Paper Series from Institute of Economic Research, Korea University Contact information at EDIRC.
Bibliographic data for series maintained by Kim, Jisoo ().

 
Page updated 2024-04-21
Handle: RePEc:iek:wpaper:0913