Generalized runs tests for the IID hypothesis

A-Tier
Journal: Journal of Econometrics
Year: 2011
Volume: 162
Issue: 2
Pages: 326-344

Authors (2)

Cho, Jin Seo (not in RePEc) White, Halbert

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We provide a family of tests for the IID hypothesis based on generalized runs, powerful against unspecified alternatives, providing a useful complement to tests designed for specific alternatives, such as serial correlation, GARCH, or structural breaks. Our tests have appealing computational simplicity in that they do not require kernel density estimation, with the associated challenge of bandwidth selection. Simulations show levels close to nominal asymptotic levels. Our tests have power against both dependent and heterogeneous alternatives, as both theory and simulations demonstrate.

Technical Details

RePEc Handle
repec:eee:econom:v:162:y:2011:i:2:p:326-344
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25