Article ID: | iaor201522339 |
Volume: | 68 |
Issue: | 3 |
Start Page Number: | 183 |
End Page Number: | 208 |
Publication Date: | Aug 2014 |
Journal: | Statistica Neerlandica |
Authors: | Chu Ba, Tran Lanh, Huang Chunfeng, Huynh Kim P |
Keywords: | economics |
Permutation tests for serial independence using three different statistics based on empirical distributions are proposed. These tests are shown to be consistent under the alternative of m‐dependence and are all simple to perform in practice. A small simulation study demonstrates that the proposed tests have good power in small samples. The tests are then applied to Canadian gross domestic product (GDP data), corroborating the random‐walk hypothesis of GDP growth.