A New Test of the Martingale Difference Hypothesis
Year of publication: |
2007
|
---|---|
Authors: | Kuan, Chung-Ming ; Lee, Wei-Ming |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 8.2007, 4, p. 1191-1191
|
Publisher: |
Berkeley Electronic Press |
Subject: | autocorrelation-based test | Bieren's equivalence result | martingale difference | spectrum-based test |
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