Inferences on Conditional Mean Dynamics and Tests of the Martingale Hypothesis
نویسنده
چکیده
The martingale di¤erence sequence hypothesis is important in economics and nance, as illustrated by (e.g.) the e¢ cient market hypothesis. Moreover, from a statistical point of view, before modeling the conditional mean dynamics, one may rst like to know whether the dynamics in mean does exist and is statistically signi cant. Furthermore, if the dynamics in mean exists, one may like to know what is the possible pattern for the conditional mean dynamics. This information will be very useful for choosing a suitable time series model for conditional mean that can explain the stylized facts and predict future evolutions of the economy.
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