González Gómez, Andrés - Economics Institute for Research (SIR), … - 2004
test for testing SPS process against the random walk. The small sample properties of these tests are <p> investigated by … testing SPS process against the random walk. The small sample properties of these
tests are investigated by Monte Carlo … experiments. An application to the stock markets
is presented.
Keywords: Linearity test, Monte Carlo testing, Smooth transitions …