A simple multiple variance ratio test
From MaRDI portal
Publication:1260679
DOI10.1016/0304-4076(93)90051-6zbMath0776.62086OpenAlexW2067374063MaRDI QIDQ1260679
Karen C. Denning, K. Victor Chow
Publication date: 25 August 1993
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(93)90051-6
Monte Carlo resultsunit root testsARIMA(1,1,0)ARIMA(1,1,1)large Type I errorsrandom walk hypothesesstationary alternativesstationary AR(1) alternativetesting multiple variance ratios
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (18)
Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity ⋮ Weak Form Efficiency of Selected European Stock Markets: Alternative Testing Approaches ⋮ New variance ratio tests to identify random walk from the general mean reversion model ⋮ A multiple variance ratio test using subsampling ⋮ Wild bootstrapping variance ratio tests ⋮ Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity ⋮ Temporal aggregation of random walk processes and implications for economic analysis ⋮ Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets ⋮ Long-term and short-term price memory in the stock market ⋮ Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules ⋮ Detecting Randomness: A Review of Existing Tests with New Comparisons ⋮ A Nonparametric Test for Deviation from Randomness with Applications to Stock Market Index Data ⋮ A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests ⋮ SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET ⋮ Tests of random walk: A comparison of bootstrap approaches ⋮ Clustering financial time series with variance ratio statistics ⋮ Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability ⋮ A procedure for testing the hypothesis of weak efficiency in financial markets: a Monte Carlo simulation
Cites Work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Testing the random walk hypothesis: power versus frequency of observation
- Trends and random walks in macroeconomic time series
- Some generalizations of the T-method in simultaneous inference
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Nonlinear Regression with Dependent Observations
- Testing for a unit root in time series regression
- Two-Sided Screening Procedures in the Bivariate Case
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- A General Method for Constructing Simultaneous Confidence Intervals
- Long-Term Memory in Stock Market Prices
- Time Series Regression with a Unit Root
- Rectangular Confidence Regions for the Means of Multivariate Normal Distributions
- A table of percentage points of the distribution of the largest absolute value of k Student t variates and its applications
- Unnamed Item
- Unnamed Item
This page was built for publication: A simple multiple variance ratio test
