| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5060998 | Economics Letters | 2011 | 4 Pages |
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.
Research HighlightsâºA Monte Carlo experiment is conducted to compare power properties of alternative tests for the martingale difference hypothesis. âºThe wild bootstrap automatic variance ratio test shows the highest power against linear dependence. âºThe generalized spectral test performs most desirably under nonlinear dependence.
Related Topics
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Economics and Econometrics
Authors
Amélie Charles, Olivier Darné, Jae H. Kim,