ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST

DOI10.1017/S0266466603192018zbMath1441.62665OpenAlexW2095226989MaRDI QIDQ4561951

Matthew Richardson, Rohit S. Deo

Publication date: 14 December 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466603192018

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (2)

Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets ⋮ Multi-scale tests for serial correlation

Cites Work

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• When are Variance Ratio Tests for Serial Dependence Optimal?
• Are Output Fluctuations Transitory?
• THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK

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