Small sample properties of alternative tests for martingale difference hypothesis

Economics Letters - Tập 110 - Trang 151-154 - 2011
Amélie Charles1, Olivier Darné2, Jae H. Kim3
1Audencia Nantes, School of Management, France
2LEMNA, University of Nantes, France
3School of Economics and Finance, La Trobe University, Australia

Tài liệu tham khảo

Andrews, 1991, Heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica, 58, 817, 10.2307/2938229 Choi, 1999, Testing the random walk hypothesis for real exchange rates, Journal of Applied Econometrics, 14, 293, 10.1002/(SICI)1099-1255(199905/06)14:3<293::AID-JAE503>3.0.CO;2-5 Dominguez, 2003, Testing the martingale difference hypothesis, Econometrics Review, 22, 351, 10.1081/ETC-120025895 Escanciano, 2009, An automatic portmanteau test for serial correlation, Journal of Econometrics, 151, 140, 10.1016/j.jeconom.2009.03.001 Escanciano, 2009, Testing the martingale hypothesis Escanciano, 2006, Generalized spectral tests for the martingale difference hypothesis, Journal of Econometrics, 134, 151, 10.1016/j.jeconom.2005.06.019 Kim, 2006, Wild bootstrapping variance ratio tests, Economics Letters, 92, 38, 10.1016/j.econlet.2006.01.007 Kim, 2009, Automatic variance ratio test under conditional heteroskedasticty, Finance Research Letters, 6, 179, 10.1016/j.frl.2009.04.003 Ljung, 1978, On a measure of lack of fit in time series models, Biometrika, 65, 297, 10.1093/biomet/65.2.297 Lo, 1988, Stock market prices do not follow random walk: evidence from a simple specification test, The Review of Financial Studies, 1, 41, 10.1093/rfs/1.1.41 Lobato, 2001, Testing for autocorrelation using a modified Box-Pierce Q test, International Economic Review, 42, 187, 10.1111/1468-2354.00106