Alternative Variance-Ratio Tests Using Ranks and Signs
Alternative Variance-Ratio Tests Using Ranks and Signs
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Publisher
Washington, D.C: Taylor & Francis Group
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Language
English
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Publisher
Washington, D.C: Taylor & Francis Group
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Contents
This article proposes using variance-ratio tests based on the ranks and signs of a time series to test the null that the series is a martingale difference sequence. Unlike conventional variance-ratio tests, these tests can be exact. In Monte Carlo simulations, I find that they can also be more powerful than conventional variance-ratio tests. I appl...
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Full title
Alternative Variance-Ratio Tests Using Ranks and Signs
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Record Identifier
TN_cdi_proquest_miscellaneous_38812747
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_38812747
Other Identifiers
ISSN
0735-0015
E-ISSN
1537-2707
DOI
10.1080/07350015.2000.10524842
