THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK

DOI10.1017/S0266466605050322zbMath1072.62105OpenAlexW2111019513MaRDI QIDQ5697615

Pierre Perron, Cosme Vodounou

Publication date: 18 October 2005

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

Full work available at URL: https://doi.org/10.1017/s0266466605050322

zbMATH Keywords

tablesfinancial time seriesmarket efficiencyrandom walk hypothesis

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope ⋮ ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST ⋮ Multi-scale tests for serial correlation

Cites Work

• Testing the random walk hypothesis: power versus frequency of observation
• The Approximate Slopes of Econometric Tests
• When are Variance Ratio Tests for Serial Dependence Optimal?
• Stochastic Comparison of Tests

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