Spectral Based Testing of the Martingale Hypothesis
收藏NBER1992-04-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0090
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资源简介：
This paper proposes a method of testing whether a time series is a martingale. The procedure develops an asymptotic theory for the shape of the spectral distribution function of the first differences. Under the null hypothesis, this shape should be a diagonal line. several tests are developed which
提供机构：
美国国家经济研究局
创建时间：
1992-04-01
