| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0066 |
| 来源ID | Technical Working Paper 0066 |
| The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation | |
| Andrew W. Lo; A. Craig MacKinlay | |
| 发表日期 | 1988-06-01 |
| 出版年 | 1988 |
| 语种 | 英语 |
| 摘要 | We examine the finite sample properties of the variance ratio test of the random walk hypothesis via Monte Carlo simulations under two null and three alternative hypotheses. These results are compared to the performance of the Dickey-Fuller t and the Box-Pierce Q statistics. Under the null hypothesis of a random walk with independent and identically distributed Gaussian increments, the empirical size of all three tests are comparable. Under a heteroscedastic random walk null, the variance ratio test is more reliable than either the Dickey-Fuller or Box-Pierce tests. We compute the power of these three tests against three alternatives of recent empirical interest: a stationary AR(1), the sum of this AR(1) and a random walk, and an integrated AR( 1). By choosing the sampling frequency appropriately, the variance ratio test is shown to be as powerful as the Dickey-Fuller and Box-Pierce tests against the stationary alternative, and is more powerful than either of the two tests against the two unit-root alternatives. |
| URL | https://www.nber.org/papers/t0066 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559861 |
| 推荐引用方式 GB/T 7714 | Andrew W. Lo,A. Craig MacKinlay. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation. 1988. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0066.pdf（3808KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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