Palgrave Handbook of Econometrics: Applied Econometrics

20 Testing the Martingale Hypothesis J. Carlos Escanciano and Ignacio N. Lobato Abstract This chapter examines testing the Marti ...

J. Carlos Escanciano and Ignacio N. Lobato 973 topic has flourished in different branches, emphasized different methodological a ...

974 Testing the Martingale Hypothesis of interest is the concept of a martingale or, alternatively, the concept of a martin- gal ...

J. Carlos Escanciano and Ignacio N. Lobato 975 Sweeney (1986) all find evidence against the MDH for nominal or real exchange rat ...

976 Testing the Martingale Hypothesis 14-Jan-2000 26-Jul-2002 04-Feb-2005 17-Aug-2007 –4 –2 0 2 4 Euro 14-Jan-2000 26-Jul-2002 0 ...

J. Carlos Escanciano and Ignacio N. Lobato 977 series that can present some form of dependence. Obviously, a white-noise series ...

978 Testing the Martingale Hypothesis Note, however, that when the series present some kind of nonlinear dependence, such as con ...

J. Carlos Escanciano and Ignacio N. Lobato 979 Qpstatistic by introducing a consistent estimator of the asymptotic null covarian ...

980 Testing the Martingale Hypothesis have recently considered a large class of directional tests based on linear combina- tions ...

J. Carlos Escanciano and Ignacio N. Lobato 981 1 T ∑T j=1, Zn(λj)^2. These test statistics have been commonly employed (see Bart ...

982 Testing the Martingale Hypothesis πG(π) F(π)^2 { G(λ∧μ) G(π) + F(λ)F(μ) F(π)^2 − F(λ)G(μ) F(π)G(π) − F(μ)G(λ) F(π)G(π) + F 4 ...

J. Carlos Escanciano and Ignacio N. Lobato 983 An alternative solution recently explored by Escanciano and Lobato (2007) con- si ...

984 Testing the Martingale Hypothesis Table 20.2 Linear predictability of exchange rates returns Daily Weekly Euro Pound Can Yen ...

J. Carlos Escanciano and Ignacio N. Lobato 985 it the integrated approach. Most of this section will be devoted to a careful stu ...

986 Testing the Martingale Hypothesis The exponential functionw 0 ( ̃Yt,P,x)=exp(ix′ ̃Yt,P),x∈R, was first considered in Bierens ...

J. Carlos Escanciano and Ignacio N. Lobato 987 Table 20.3 Testing the MDH of exchange rates returns EmpiricalP-values Daily Week ...

988 Testing the Martingale Hypothesis Table 20.4 Testing the MDH of exchange rates returns BootstrapP-values. Data-driven tests ...

J. Carlos Escanciano and Ignacio N. Lobato 989 0 5 10 15 20 25 30 35 –0.1 –0.05 0 0.05 0.1 Autocorrelogram Lag j r ( j) 0 5 10 1 ...

990 Testing the Martingale Hypothesis 0 5 10 15 20 25 30 35 –0.15 –0.1 –0.05 0 0.05 0.1 Autocorrelogram Lag j r ( j) 0 5 10 15 2 ...

J. Carlos Escanciano and Ignacio N. Lobato 991 0 5 10 15 20 25 30 35 –0.1 –0.05 0 0.05 0.1 Autocorrelogram Lag j r( j) 0 5 10 15 ...