Park, Joon Y.; Whang, Yoon-Jae - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 2
This paper proposes a statistical test of the martingale hypothesis. It can be used to test whether a given time series is a martingale process against certain non-martingale alternatives. The class of alternative processes against which our test has power is very general and it encompasses many...