Tse, Y. K.; Ng, K. W.; Zhang, Xibin - In: Journal of Time Series Analysis 25 (2004) 1, pp. 127-135
The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by Lo and MacKinlay (1989), the test under-rejects the null on the left tail seriously when the sample size is small....