A Small-Sample Overlapping Variance-Ratio Test

• المؤلفون الرئيسيون: TSE, Yiu Kuen, NG, K. W., ZHANG, Xibin
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2004
• الموضوعات: Beta distribution; Monte Carlo experiment; random-walk hypothesis; variance-ratio test; Econometrics
• الوصول للمادة أونلاين: 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
• المؤسسة: Singapore Management University

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...