The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
收藏NBER1988-06-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0066
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资源简介：
We examine the finite sample properties of the variance ratio test of the random walk hypothesis via Monte Carlo simulations under two null and three alternative hypotheses. These results are compared to the performance of the Dickey-Fuller t and the Box-Pierce Q statistics. Under the null
提供机构：
美国国家经济研究局
创建时间：
1988-06-01
