A Small-Sample Overlapping Variance-Ratio Test

A Small-Sample Overlapping Variance-Ratio Test

The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by , the test under-rejects the null on the left tail seriously when the sample size is small. This property adversely af...

Full description

Saved in:
Bibliographic Details
Main Authors: TSE, Yiu Kuen, NG, K. W., ZHANG, Xibin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Beta distribution
Monte Carlo experiment
random-walk hypothesis
variance-ratio test
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/149
https://ink.library.smu.edu.sg/context/soe_research/article/1148/viewcontent/A_Small_Sample_Overlapping_Variance_Ratio_Test.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/149
https://ink.library.smu.edu.sg/context/soe_research/article/1148/viewcontent/A_Small_Sample_Overlapping_Variance_Ratio_Test.pdf

Similar Items