Title of article :
An exact invariant variance ratio test
Author/Authors :
Philip A. Shively، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2002
Abstract :
The variance ratio test has been prominent among tests for temporary and permanent innovations in economic and financial time series. This paper develops an exact variance ratio test which is mean invariant, and it lists sample exact critical values and powers.
Keywords :
Variance ratio test statistic , Mean invariant , random walk , Exact small-sample inference
Journal title :
Economics Letters
Journal title :
Economics Letters
