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Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis

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.
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https://hal.archives-ouvertes.fr/hal-00771829
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Submitted on : Wednesday, April 29, 2015 - 11:15:21 AM
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Amélie Charles, Olivier Darné, Jae Kim. Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis. Economics Letters, Elsevier, 2011, 110 (2), pp.151-154. ⟨10.1016/j.econlet.2010.11.018⟩. ⟨hal-00771829⟩

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