Testing the Martingale Hypothesis

• Main Authors: Phillips, Peter C. B., JIN, Sainan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Brownian functional; Cramér-von Mises test; Exchange rates; Explosive process; Kolmogorov-Smirnov test; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1633; https://ink.library.smu.edu.sg/context/soe_research/article/2632/viewcontent/2014JBESMG_av.pdf
• Institution: Singapore Management University

We propose new tests of the martingale hypothesis based on generalized versions of the Kolmogorov–Smirnov and Cramér–von Mises tests. The tests are distribution-free and allow for a weak drift in the null model. The methods do not require either smoothing parameters or bootstrap resampling for their...