Article citationsMore>>

Anderson, T. (1971) Statistical Analysis of Time Series. Wiley, New York.

has been cited by the following article:

• TITLE: Weighted Bootstrap Approach for the Variance Ratio Tests: A Test of Market Efficiency

  AUTHORS: Dilip Kumar

  KEYWORDS: Monte Carlo Experiment, Weighted Bootstrap, Variance Ratio, Return Predictability

  JOURNAL NAME: Theoretical Economics Letters, Vol.6 No.3, June 3, 2016

  ABSTRACT: By means of Monte Carlo experiments using the weighted bootstrap, we evaluate the size and power properties in small samples of Chow and Denning’s [1] multiple variance ratio test and the automatic variance ratio test of Choi [2]. Our results indicate that the weighted bootstrap tests exhibit desirable size properties and substantially higher power than corresponding conventional tests.