Palgrave Handbook of Econometrics: Applied Econometrics

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 20 25 30 35

0

0.5

1

1.5

2 Nonlinear IPRF plot

Lag j

KS (

j)

Figure 20.4 IPRF for the daily pound
Top graph is the heteroskedasticity robust autocorrelation plot. Bottom graph is the IPRF plot.

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 20 25 30 35

0

0.5

1

1.5

2 Nonlinear IPRF plot

Lag j

KS (

j)

Figure 20.5 IPRF for the daily Can
Top graph is the heteroskedasticity robust autocorrelation plot. Bottom graph is the IPRF plot.