Fan, Lijun; Mills, Terence C. - In: International Journal of Computational Economics and … 1 (2009) 1, pp. 48-63
This paper compares the performance of a wide range of approaches to testing the martingale difference hypothesis in … tests under a martingale difference null hypothesis, which allows for conditional heteroskedasticity and a fat tailed … superior to others in that they show desirable size properties under the martingale difference null and excellent power …