ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST
By Rohit S. Deo, Matthew Richardson. Econometric Theory, 2003
61 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/45f2c3ec7ac0e1298fedc3ac0ee6a9fb9ebcef03
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Citations in the corpus
- Carbon trading thickness and market efficiency (2010, methodology): “Recently, Kim (2009) has shown that the AVR test has a serious size distortion and suggests to use a wild bootstrap procedure to correct this problem.(10)”
- Multi-scale tests for serial correlation (2015, background): “On the other, we expect that, much like variance tests in the spirit of Lo and MacKinlay (1988), there is an optimal choice of N that will maximize power (see for example Deo and Richardson, 2003; Perron and Vodounou, 2005).”
- VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW (2009, unknown): “As advocated by Deo and Richardson (2003), we use relatively short holding periods when testing for mean reversion using VR tests.”