Small sample properties of alternative tests for martingale difference hypothesis

DOI10.1016/J.ECONLET.2010.11.018zbMath1209.62199OpenAlexW2073155867MaRDI QIDQ631280

Juan-Miguel Gracia

Publication date: 22 March 2011

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2010.11.018

zbMATH Keywords

Monte Carlo experimentnonlinear dependenceportmanteau testvariance ratio test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure ⋮ A Berry–Esseen theorem for sample quantiles under martingale difference sequences ⋮ Change points and temporal dependence in reconstructions of annual temperature: did Europe experience a little ice age? ⋮ Clustering financial time series with variance ratio statistics ⋮ Fourier–type tests involving martingale difference processes

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Generalized spectral tests for the martingale difference hypothesis
• Wild bootstrapping variance ratio tests
• An automatic portmanteau test for serial correlation
• On a measure of lack of fit in time series models
• Testing the Martingale Difference Hypothesis

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