When are Variance Ratio Tests for Serial Dependence Optimal?

DOI10.2307/2951545zbMath0752.62082OpenAlexW2063749173MaRDI QIDQ4016229

Jon Faust

Publication date: 9 December 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951545

zbMATH Keywords

normalitytime seriessample variancemean reversionfiltered time seriesoptimal testsvariance ratio testnull of white noiseserially dependent alternative

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (8)

Fractional integration and interval prediction ⋮ ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST ⋮ A GENERALIZED VARIANCE RATIO TEST OF ARIMA (p, 1, q) MODEL SPECIFICATION ⋮ THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK ⋮ THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS ⋮ The variance ratio and trend stationary model as extensions of a constrained autoregressive model ⋮ An exact invariant variance ratio test. ⋮ GMM tests for the Katz family of distributions

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