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  • Search: subject:"Variance ratio test EDIRC Provider-Institution: RePEc:edi:smlatau"
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Year of publication
Subject
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Monte Carlo experiment 1 Non-linear dependence 1 Portmanteau test 1 Variance ratio test EDIRC Provider-Institution: RePEc:edi:smlatau 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Charles, Amélie 1 Darné, Olivier 1 Kim, Jae H 1
Institution
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Department of Economics and Finance, La Trobe Business School 1
Published in...
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Working Papers / Department of Economics and Finance, La Trobe Business School 1
Source
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RePEc 1
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Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
Charles, Amélie; Darné, Olivier; Kim, Jae H - Department of Economics and Finance, La Trobe Business … - 2010
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...
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