A simple multiple variance ratio test

@inproceedings{Chow1993ASM,
  title={A simple multiple variance ratio test},
  author={K. Victor Chow and Karen Craft Denning},
  year={1993}
}
Abstract Empirical applications of the variance ratio (VR) test frequently employ multiple VR estimates to examine the random walk hypothesis against stationary alternatives. Failing to control the joint test size for these estimates results in very large Type I errors. This manuscript extends the Lo and MacKinlay (1988) methodology and provides a simple modification for testing multiple variance ratios. Monte Carlo results indicate that the size of our test is close to its nominal size and… CONTINUE READING

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