EXACT NONPARAMETRIC-TESTS OF ORTHOGONALITY AND RANDOM-WALK IN THE PRESENCE OF A DRIFT PARAMETER

Authors
CAMPBELL B DUFOUR JM
Citation
B. Campbell et Jm. Dufour, EXACT NONPARAMETRIC-TESTS OF ORTHOGONALITY AND RANDOM-WALK IN THE PRESENCE OF A DRIFT PARAMETER, International economic review, 38(1), 1997, pp. 151-173
Citations number
32
Categorie Soggetti
Economics
Journal title
International economic review → ACNP
ISSN journal
00206598
Volume
38
Issue
1
Year of publication
1997
Pages
151 - 173
Database
ISI
SICI code
0020-6598(1997)38:1<151:ENOOAR>2.0.ZU;2-C
Abstract
In this paper, finite-sample nonparametric tests of conditional indepe ndence and random walk are extended to allow for an unknown drift para meter. The tests proposed are based on simultaneous inference methods and remain exact in the presence of general forms of feedback, nonnorm ality and heteroskedasticity. Further, in two simulation studies we co nfirm that the nonparametric procedures are reliable, and find that th ey display power comparable or superior to that of conventional tests.