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A multiple variance ratio test using subsampling

Title
A multiple variance ratio test using subsampling
Authors
Whang Y.-J.Kim J.
Ewha Authors
김진호
SCOPUS Author ID
김진호scopus
Issue Date
2003
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
vol. 79, no. 2, pp. 225 - 230
Indexed
SSCI; SCOPUS scopus
Abstract
This paper considers a test of the random walk hypothesis by comparing jointly the variance ratios at multiple observation intervals with unity. We suggest a subsampling procedure to approximate the asymptotic null distribution. Simulation results provide some favorable finite sample performance. © 2002 Elsevier Science B.V. All rights reserved.
DOI
10.1016/S0165-1765(02)00330-0
Appears in Collections:
경영대학 > 경영학전공 > Journal papers
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