Small sample properties of alternative tests for martingale difference hypothesis

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 110
Issue: 2
Pages: 151-154

Authors (3)

Charles, Amélie (not in RePEc) Darné, Olivier (not in RePEc) Kim, Jae H.

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

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

Abstract

A Monte Carlo experiment is conducted to compare power properties of alternative tests for the martingale difference hypothesis. Overall, we find that the wild bootstrap automatic variance ratio test shows the highest power against linear dependence; while the generalized spectral test performs most desirably under nonlinear dependence.

Technical Details

RePEc Handle
repec:eee:ecolet:v:110:y:2011:i:2:p:151-154
Journal Field
General
Author Count
3
Added to Database
2026-01-25