Studies in Nonlinear Dynamics & Econometrics
Ed. by Mizrach, Bruce
IMPACT FACTOR increased in 2015: 0.517
5-year IMPACT FACTOR: 0.628
SCImago Journal Rank (SJR) 2015: 0.426
Source Normalized Impact per Paper (SNIP) 2015: 0.546
Impact per Publication (IPP) 2015: 0.419
Mathematical Citation Quotient (MCQ) 2015: 0.01
A New Test of the Martingale Difference Hypothesis
Citation Information: Studies in Nonlinear Dynamics & Econometrics. Volume 8, Issue 4, ISSN (Online) 1558-3708, DOI: https://doi.org/10.2202/1558-3708.1191, December 2004
- Published Online:
In this paper we propose a new class of tests for the martingale difference hypothesis based on the moment conditions derived by Bierens (1982). In contrast with the existing consistent tests, the proposed test has a standard limiting distribution and is easy to implement. Comparing with many commonly used autocorrelation- and spectrum-based tests, it has better power against a larger class of alternatives that may be serially correlated or uncorrelated. Moreover, this test does not rely on the assumption of conditional homoskedasticity and requires a weaker moment condition. Our simulations confirm that the proposed test is powerful against various linear and nonlinear alternatives and is quite robust to the failure of higher-order moments. Our empirical study on exchange rate returns also shows that the conclusion resulted from the proposed test is different from that of the conventional tests.
Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.