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Data-driven smooth tests for the martingale difference hypothesis

descriptionPublicationkeyboard_double_arrow_right Article , Research , Preprint 01 Aug 2010 Spain English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 54, pages 1,983-1,998 (issn: 0167-9473, Copyright policy )
Authors: Juan-Carlos Escanciano; Silvia Mayoral;

doi: 10.1016/j.csda.2010.02.023

handle: 10171/7095

Data-driven smooth tests for the martingale difference hypothesis

Abstract

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Keywords

empirical processes, nonlinear time series, market efficiency, :Economía y Empresa [Materias Investigacion], Materias Investigacion::Economía y Empresa, semiparametric efficiency, Economic time series analysis, Time series, auto-correlation, regression, etc. in statistics (GARCH), pivotal tests, Neyman's tests

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    popularity
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    		 Average
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
11
Average
Average
Top 10%
Green
bronze