Tests for m-dependence based on Sample Splitting Methods

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dc.contributor.author Moon, Seongman
dc.contributor.author Velasco, Carlos
dc.date.accessioned 2015-02-27T19:01:34Z
dc.date.available 2015-02-27T19:01:34Z
dc.date.issued 2013-04-01
dc.identifier.bibliographicCitation Moon, S. and C. Velasco. Tests for m-dependence based on sample splitting methods. Journal of Econometrics, 2013, 173, 143-159
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10016/20111
dc.description.abstract This paper develops new test methods for m-dependent data. Our approach is based on sample splitting by regular sampling of the original data at lower frequencies, so that standard techniques for testing independence can be used for each individual subsample. We then propose several alternative statistics that aggregate information across subsamples and investigate their asymptotic and nite sample properties. We apply our methods to test the predictability of excess returns in foreign exchange markets. We also illustrate how our serial dependence tests can provide useful information for identifying particular economic alternatives when testing the expectations hypothesis in foreign exchange markets.
dc.description.sponsorship Research support from Spanish Secretary of Education (SEJ2007-63098) is gratefully acknowledged. Research support from the Spanish Plan Nacional de I+D+I (SEJ2007-62908) is gratefully acknowledged
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other M-dependence
dc.subject.other Sample splitting
dc.subject.other Pooled method
dc.subject.other Wald method
dc.subject.other Minimum/maximum/median method
dc.subject.other Expectations hypothesis
dc.title Tests for m-dependence based on Sample Splitting Methods
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.jeconom.2012.11.005
dc.identifier.doi 10.1016/j.jeconom.2012.11.005
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. 2013/00049/001
dc.relation.projectID Gobierno de España. SEJ2007-63098
dc.relation.projectID Gobierno de España. SEJ2007-62908/ECON
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 143
dc.identifier.publicationissue 2
dc.identifier.publicationlastpage 159
dc.identifier.publicationtitle Journal of Econometrics
dc.identifier.publicationvolume 173
dc.identifier.uxxi AR/0000016196
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