File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1046/j.0143-9782.2003.01804.x
- Scopus: eid_2-s2.0-1242292224
- WOS: WOS:000187961700007
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: A small-sample overlapping variance-ratio test
Title | A small-sample overlapping variance-ratio test |
---|---|
Authors | |
Keywords | Beta distribution Monte Carlo experiment Random-walk hypothesis Variance-ratio test |
Issue Date | 2004 |
Publisher | Blackwell Publishing Ltd. |
Citation | Journal Of Time Series Analysis, 2004, v. 25 n. 1, p. 127-135 How to Cite? |
Abstract | The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by Lo and MacKinlay (1989), the test under-rejects the null on the left tail seriously when the sample size is small. This property adversely affects the applicability of the OVR test to macroeconomic time series, which usually have rather small samples. In this paper, we propose a modified overlapping variance-ratio statistic and derive its exact mean under the normality assumption. We propose to approximate the small-sample distribution of the modified statistic using a beta distribution that matches the (exact) mean and the (asymptotic) variance. A Monte Carlo experiment shows that the beta approximation performs well in small samples. |
Persistent Identifier | http://hdl.handle.net/10722/82745 |
ISSN | 2023 Impact Factor: 1.2 2023 SCImago Journal Rankings: 0.875 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Tse, YK | en_HK |
dc.contributor.author | Ng, KW | en_HK |
dc.contributor.author | Zhang, X | en_HK |
dc.date.accessioned | 2010-09-06T08:32:55Z | - |
dc.date.available | 2010-09-06T08:32:55Z | - |
dc.date.issued | 2004 | en_HK |
dc.identifier.citation | Journal Of Time Series Analysis, 2004, v. 25 n. 1, p. 127-135 | en_HK |
dc.identifier.issn | 0143-9782 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82745 | - |
dc.description.abstract | The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by Lo and MacKinlay (1989), the test under-rejects the null on the left tail seriously when the sample size is small. This property adversely affects the applicability of the OVR test to macroeconomic time series, which usually have rather small samples. In this paper, we propose a modified overlapping variance-ratio statistic and derive its exact mean under the normality assumption. We propose to approximate the small-sample distribution of the modified statistic using a beta distribution that matches the (exact) mean and the (asymptotic) variance. A Monte Carlo experiment shows that the beta approximation performs well in small samples. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Blackwell Publishing Ltd. | en_HK |
dc.relation.ispartof | Journal of Time Series Analysis | en_HK |
dc.rights | Journal of Time Series Analysis. Copyright © Blackwell Publishing Ltd. | en_HK |
dc.subject | Beta distribution | en_HK |
dc.subject | Monte Carlo experiment | en_HK |
dc.subject | Random-walk hypothesis | en_HK |
dc.subject | Variance-ratio test | en_HK |
dc.title | A small-sample overlapping variance-ratio test | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0143-9782&volume=25&issue=1&spage=127&epage=135&date=2004&atitle=A+small-sample+overlapping+variance-ratio+test | en_HK |
dc.identifier.email | Ng, KW: kaing@hkucc.hku.hk | en_HK |
dc.identifier.authority | Ng, KW=rp00765 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1046/j.0143-9782.2003.01804.x | - |
dc.identifier.scopus | eid_2-s2.0-1242292224 | en_HK |
dc.identifier.hkuros | 85434 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-1242292224&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 25 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 127 | en_HK |
dc.identifier.epage | 135 | en_HK |
dc.identifier.isi | WOS:000187961700007 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Tse, YK=7005116877 | en_HK |
dc.identifier.scopusauthorid | Ng, KW=7403178774 | en_HK |
dc.identifier.scopusauthorid | Zhang, X=7410277543 | en_HK |
dc.identifier.issnl | 0143-9782 | - |