A New Test of the Martingale Difference Hypothesis

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Weighted resampling of martingale difference arrays with applications (2011, methodology): “Then Kuan and Lee like to test the null hypothesis H0 : {(Yn≥1) is a MDS with respect to the canonical filtration} (3.1) against the alternative H1 : {E(Ynϕg(Yn−1(w))) 6= 0}.”
Testing for Granger-causality in quantiles (2018, methodology): “We could also use any parametric family of weighting functions proposed in Kuan and Lee (2004) and Escanciano (2006).”
Generalized spectral tests for the martingale difference hypothesis (2006, methodology): “Models 1, 2, 4 and 5 are used in Domı́nguez and Lobato (2003). Models 3, 6 and 7 are used in Deo (2000), while models 8 and 9 are used in Hong (1999b).”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “…or equivalently, whether stock prices follow a martingale Journal of Economic Surveys (2011) Vol. 25, No. 1, pp. 69–108 C© 2010 Blackwell Publishing Ltd process (see Hinich and Patterson, 1992; Domı́nguez and Lobato, 2003; Kuan and Lee, 2004; Hong and Lee, 2005; Escanciano and Velasco, 2006a, b).”