1000 Testing the Martingale Hypothesis
Durbin, J. and G.S. Watson (1950) Testing for serial correlation in least squares regression:
I.Biometrika 37 , 409–28.
Durlauf, S.N. (1991) Spectral based testing of the martingale hypothesis. Journal of
Econometrics 50 , 355–76.
Engle, R.F. and G. González-Rivera (1991) Semiparametric ARCH models.Journal of Business
& Economic Statistics 9 , 345–59.
Escanciano, J.C. (2007a) Model checks using residual marked empirical processes.Statistica
Sinica 17 , 115–38.
Escanciano, J.C. (2007b) Weak convergence of non-stationary multivariate marked pro-
cesses with applications to martingale testing. Journal of Multivariate Analysis 98 ,
1321–36.
Escanciano, J.C. (2008) On the lack of power of omnibus specification tests.Econometric
Theory. Forthcoming.
Escanciano, J.C. and I.N. Lobato (2007) Data-driven portmanteau tests for testing for serial
correlation. Preprint.
Escanciano, J.C. and S. Mayoral (2007) Data-driven smooth tests for the martingale
difference hypothesis. Preprint.
Escanciano, J.C. and C. Velasco (2006a) Generalized spectral tests for the martingale
difference hypothesis.Journal of Econometrics 134 , 151–85.
Escanciano, J.C. and C. Velasco (2006b) Testing the martingale difference hypothesis using
integrated regression functions.Computational Statistics & Data Analysis 51 , 2278–94.
Fama, E.F. (1991) Efficient capital markets: a review of theory and empirical work.Journal
of Finance 25 , 383–417.
Fan, J. and L. Huang (2001) Goodness-of-fit tests for parametric regression models.Journal
of the American Statistical Association 96 , 640–52.
Ferreira, E. and W. Stute (2004) Testing for differences between conditional means in a time
series context.Journal of the American Statistical Association 99 , 169–74.
Fong, W.M., S.K. Koh and S. Ouliaris (1997) Joint variance ratio test of the martingale
hypothesis for exchange rates.Journal of Business and Economics Statistics 15 , 51–9.
Fong, W.M. and S. Ouliaris (1995) Spectral tests of the martingale hypothesis for exchange
rates.Journal of Applied Econometrics 10 , 255–71.
Francq, C., R. Roy and J.-M. Zakoïan (2005) Diagnostic checking in ARMA models with
uncorrelated errors.Journal of the American Statistical Association 13 , 532–44.
Franke, J. and W. Hardle (1992) On bootstrapping kernel spectral estimates.Annals of
Statistics 20 , 121–45.
González, M. and I.N. Lobato (2003) Contrastes de autocorrelación.Gaceta de Economía 14 ,
41–57.
Grenander, U. and M. Rosenblatt (1957)Statistical Analysis of Stationary Time Series. New
York: Chelsea Publishing Company.
Guay, A. and E. Guerre (2006) A Data-driven nonparametric specification test for dynamic
regression models.Econometric Theory 22 , 543–86.
Guerre, E. and P. Lavergne (2005) Rate-optimal data-driven specification testing for
regression models.Annals of Statistics 33 , 840–70.
Guo, B. and P.C.B. Phillips (2001) Testing for autocorrelation and unit roots in the presence
of conditional heteroskedasticity of unknown form. New Haven: Cowles Foundation for
Research in Economics,Yale University.
Hall, R.E. (1978) Stochastic implications of the life cycle-permanent income hypothesis:
theory and evidence.Journal of Political Economy 86 , 971–87.
Hart, J.D. (1997)Nonparametric smoothing and Lack-of-Fit Tests. New York: Springer-Verlag.
Hinich, M. and D. Patterson (1992) A new diagnostic test of model inadequacy which uses
the martingale difference criterion.Journal of Time Series Analysis 13 , 233–52.
Hong, Y. (1996) Consistent testing for serial correlation of unknown form.Econometrica
64 , 837–64.