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 non-linear dependence.

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Year of publication:	2010-11
Authors:	Charles, Amélie ; Darné, Olivier ; Kim, Jae H
Institutions:	Department of Economics and Finance, La Trobe Business School
Subject:	Monte Carlo experiment \| Non-linear dependence \| Portmanteau test \| Variance ratio test

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2010.07 14 pages
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010615387