Power properties of a nonparametric test of the martingale hypothesis.

• Autores: Julio A. Afonso Rodríguez
• Localización: Anales de ASEPUMA, ISSN-e 2171-892X, Nº. 21, 2013, 22 págs.
• Idioma: inglés
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• Resumen

  • In this paper we study the power properties of a simple nonparametric test of the martingale hypothesis recently proposed by Park and Whang (2005), and further studied by Escanciano (2007). Particularly, we are interested in obtaining the limiting distribution of this test statistic for several possible non-martingale non-stationary processes, such as the class of stochastic unit root processes, with particular attention to the so-called local-heteroskedastic integrated and weak bilinear unit root processes introduced by McCabe and Smith (1998) and Charemza et.al. (2005) and Lifshits (2006), respectively. We also consider the class of heteroskedastic (or stochastically) integrated processes introduced by Hansen (1992) and further generalized by Harris et.al. (2002). We also conduct a simulation experiment to evaluate numerically the power behaviour of this test statistic for each of these closely related, but different, alternatives.

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