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A New Test of the Martingale Difference Hypothesis [PDF]
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
Chung-Ming Kuan, Wei-Ming Lee
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Testing the Martingale Difference Hypothesis
Econometric Reviews, 2003In this paper we consider testing that an economic time series follows a martingale difference process. The martingale difference hypothesis has typically been tested using information contained in the second moments of a process, that is, using test statistics based on the sample autocovariances or periodograms.
Manuel A. Domínguez, Ignacio N. Lobato
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