Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis

Amelie Charles, Olivier Darné and Jae Kim

No 2010.07, Working Papers from School of Economics, La Trobe University

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 non-linear dependence.

Keywords: Monte Carlo experiment; Non-linear dependence; Portmanteau test; Variance ratio test EDIRC Provider-Institution: RePEc:edi:smlatau (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2010-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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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 (2011)
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