An exact invariant variance ratio test.

DOI10.1016/S0165-1765(01)00617-6zbMath1041.91049OpenAlexW2036660808MaRDI QIDQ1605263

Philip A. Shively

Publication date: 15 July 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00617-6

zbMATH Keywords

Random walkExact small-sample inferenceMean invariantVariance ratio test statistic

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Uses Software

• AS 155

Cites Work

• Unnamed Item
• Robust tests for spherical symmetry and their application to least squares regression
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• When are Variance Ratio Tests for Serial Dependence Optimal?

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