Adaptive permutation tests for serial independence

Adaptive permutation tests for serial independence

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Article ID: iaor201522339
Volume: 68
Issue: 3
Start Page Number: 183
End Page Number: 208
Publication Date: Aug 2014
Journal: Statistica Neerlandica
Authors: , , ,
Keywords: economics
Abstract:

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.

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