Escanciano, Juan Carlos; Mayoral, Silvia - In: Computational Statistics & Data Analysis 54 (2010) 8, pp. 1983-1998
A general method for testing the martingale difference hypothesis is proposed. The new tests are data-driven smooth tests based on the principal components of certain marked empirical processes that are asymptotically distribution-free, with critical values that are already tabulated. The smooth...