Exact nonparametric tests of orthogonality and random walk in the presence of a drift parameter

• 成果类型: Article
• 署名作者: Campbell, B; Dufour, JM
• 署名单位: Concordia University - Canada
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.2307/2527412
• 发表日期: 1997
• 页码: 151-173
• 关键词: rational-expectations models; term structure; interest-rates; nagar expansions; rejections

摘要

In this paper, finite-sample nonparametric tests of conditional independence and random walk are extended to allow for an unknown drift parameter. The tests proposed are based on simultaneous inference methods and remain exact in the presence of general forms of feedback, nonnormality and heteroskedasticity. Further, in two simulation studies we confirm that the nonparametric procedures are reliable, and find that they display power comparable or superior to that of conventional tests.