Testing the Martingale Difference Hypothesis

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Nonparametric estimation of mean-squared prediction error in nested-error regression models (2005, unknown): “For recent applications of the moment-matching bootstrap, see [10, 14, 15, 16, 21, 25, 28].”
Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates (2012, methodology): “We measure the degree of return predictability using three alternative tests for the MDH, namely the wild bootstrap automatic variance-ratio test of Kim (2009), the generalized spectral shape test of Escansiano and Velasco (2006), and the consistent tests of Dominguez and Lobato (2003).”
An updated review of Goodness-of-Fit tests for regression models (2013, unknown): “With the same weight function, Dominguez and Lobato (2003) considered a Markovian hypothesis of higher order, also studied by Stute et al. (2006) for a general linear model.”
Cryptocurrency trading: a comprehensive survey (2020, methodology): “The consistent test of Dominguez and Lobato [124], generalized spectral (GS) of Escanciano and Velasco [125] are applied in capturing time-varying linear and nonlinear dependence”
Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis (2011, methodology): “AQ = Qe p (3) where p̃ = min{p : 1 ≤ p ≤ d; Lp ≥ Lh, h = 1, 2, .”