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 2002
• الموضوعات: Beta distribution; Monte Carlo experiment; random-walk hypothesis; variance-ratio test; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1131; https://ink.library.smu.edu.sg/context/soe_research/article/2130/viewcontent/JTSA_R.pdf

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 Lo and MacKinlay (1989), the test under-rejects the null on the left tail seriously when the sample size is small. Thi...