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Tests for m-dependence Based on Sample Splitting Methods

Seongman Moon () and Carlos Velasco ()

No 1108, Working Papers from Research Institute for Market Economy, Sogang University

Abstract: This paper develops new inference methods for m-dependent data. Our approach is based on sample splitting by regular sampling of original data at lower frequencies, so that standard techniques can be used for independent data in individual subsamples. We then explore several alternatives of aggregation across subsample statistics and investigate their asymptotic and finite sample properties. We apply our methods to nonparametric tests of the predictability of excess returns in the presence of m-dependence. We also illustrate how our serial dependence tests can provide valid 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)
New Economics Papers: this item is included in nep-ecm
Date: 2011-08
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ftp://163.239.156.99/wpaper/MSM_RIME_2011-08.pdf First version, 2011 (application/pdf)

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Journal Article: Tests for m-dependence based on sample splitting methods (2013) Downloads
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