A Consistent Test for the Martingale Difference Hypothesis

  title={A Consistent Test for the Martingale Difference Hypothesis},
  author={M. A. Dominguez and Ignacio N. Lobato},
This paper considers testing that an economic time series follows a martingale difference process. The martingale di¤erence hypothesis has been typically tested using information contained in the second moments of a process, that is, using test statistics based on the sample autocovariances or in the periodograms. Tests based on these statistics are inconsistent since they just test necessary conditions of the null hypothesis. In this paper we consider tests that are consistent against all… CONTINUE READING

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