A multiple variance ratio test using subsampling

DOI10.1016/S0165-1765(02)00330-0zbMath1255.62390OpenAlexW1980446846MaRDI QIDQ1927304

Yoon-Jae Whang, Jin Ho Kim

Publication date: 1 January 2013

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00330-0

zbMATH Keywords

random walk hypothesis

Mathematics Subject Classification ID

Related Items (5)

Bootstrap tests of multiple inequality restrictions on variance ratios ⋮ Wild bootstrapping variance ratio tests ⋮ Tests of random walk: A comparison of bootstrap approaches ⋮ Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability ⋮ Fourier–type tests involving martingale difference processes

Cites Work

• A functional central limit theorem for weakly dependent sequences of random variables
• A simple multiple variance ratio test
• Subsampling
• Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator.

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