Testing the martingale difference hypothesis in high dimension
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- Chang, Jinyuan & Jiang, Qing & Shao, Xiaofeng, 2023. "Testing the martingale difference hypothesis in high dimension," Journal of Econometrics, Elsevier, vol. 235(2), pages 972-1000.
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JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
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This paper has been announced in the following NEP Reports:- NEP-ECM-2022-10-10 (Econometrics)
- NEP-ETS-2022-10-10 (Econometric Time Series)
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