A Test of the Martingale Hypothesis

DOI10.2202/1558-3708.1163zbMath1082.62075OpenAlexW2007953285MaRDI QIDQ3368380

Joon Y. Park, Yoon-Jae Whang

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1163

zbMATH Keywords

Nonlinear time seriesKolmogorov-Smirnov testCramer-von Mises TestMartingale hypothesis

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Testing the martingale difference hypothesis in high dimension ⋮ Model checks for nonlinear cointegrating regression ⋮ Weak convergence of non-stationary multivariate marked processes with applications to martingale testing ⋮ TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS

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