
handle: 10419/62805
The martingale difference restriction is an outcome of many theoretical analyses in economics and finance. A large body of econometric literature deals with tests of that restriction. We provide new tests based on radial basis function neural networks. Our work is based on the test design of Blake and Kapetanios (2000, 2003a,b). However, unlike that work we can provide a formal theoretical justification for the validity of these tests using approximation results from Kapetanios and Blake (2007). These results take advantage of the link between the algorithms of Blake and Kapetanios (2000, 2003a,b) and boosting. We carry out a Monte Carlo study of the properties of the new tests and find that they have superior power performance to all existing tests of the martingale difference hypothesis we consider. An empirical application to the S&P500 constituents illustrates the usefulness of our new test.
Nichtparametrisches Verfahren, ddc:330, Monte-Carlo-Methode, Martingale, Martingale difference hypothesis, Neural networks, Boosting, Martingale difference hypothesis , Neural networks , Boosting, C14, Schätztheorie, Neuronale Netze, jel: jel:C14
Nichtparametrisches Verfahren, ddc:330, Monte-Carlo-Methode, Martingale, Martingale difference hypothesis, Neural networks, Boosting, Martingale difference hypothesis , Neural networks , Boosting, C14, Schätztheorie, Neuronale Netze, jel: jel:C14
| 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). | 0 | |
| 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. | 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). | Average | |
| impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network. | Average |
