Small sample properties of alternative tests for martingale difference hypothesis

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.

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Year of publication:	2011
Authors:	Charles, Amélie ; Darné, Olivier ; Kim, Jae H.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 110.2011, 2, p. 151-154
Publisher:	Elsevier
Keywords:	Monte Carlo experiment Nonlinear dependence Portmanteau test Variance ratio test

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008867028