A Simple Multiple Variance-Ratio Test Based on Ranks

Gilbert Colletaz (1)

1 LEO - Laboratoire d'économie d'Orleans [2008-2011]

Using Chow and Denning's arguments applied to the individual hypothesis test methodology of Wright (2000) I propose a multiple variance-ratio test based on ranks to investigate the hypothesis of no serial coorelation. This rank joint test can be exact if data are i.i.d.. Some Monte Carlo simulations show that its size distortions are small for observations obeying the martingale hypothesis while not being and i.i.d. process. Also, regarding size and power, it compares favorably with other popular tests.

Mots clés: Random walk hypothesis; non parametric test; variance-ratio test

Domaines: Economies et finances

Gilbert Colletaz. A Simple Multiple Variance-Ratio Test Based on Ranks. 2006. ⟨halshs-00007801⟩