Tests for <i>m</i>-dependence based on sample splitting methods

作     者：Moon, Seongman Velasco, Carlos 

作者机构：Univ Carlos III Madrid Dept Econ Getafe Madrid 28903 Spain 

出 版 物：《JOURNAL OF ECONOMETRICS》 (经济计量学杂志)

年 卷 期：2013年第173卷第2期

页      面：143-159页

核心收录：

学科分类：02[经济学] 0201[经济学-理论经济学] 0701[理学-数学] 

基　　金：Spanish Secretary of Education [SEJ2007-63098] Spanish Plan Nacional de I+D+I [SEJ2007-62908] 

主　　题：m-dependence Sample splitting Pooled method Wald method Minimum/maximum/median method Expectations hypothesis 

摘      要：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 finite 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. (C) 2012 Elsevier B.V. All rights reserved.