The size and power of the variance ratio test in finite samples

1989/02/01 by Andrew W. Lo, A. Craig MacKinlay, A.Craig MacKinlay · 1 citation
Economics, Econometrics and Finance · Mathematics · #Financial Risk and Volatility Modeling #Statistical Distribution Estimation and Applications #Statistical Methods and Bayesian Inference

paper · doi:10.1016/0304-4076(89)90083-3

crossref issued 1989/02/01 · crossref published 1989/02/01 · crossref published-print 1989/02/01 · openalex publication_date 1989/02/01 · crossref created 2002/07/26 · crossref deposited 2019/04/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/23 · crossref indexed 2026/08/03

Citations

• Stock Prices and Social Dynamics
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Permanent and Temporary Components of Stock Prices
• On a measure of lack of fit in time series models
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Testing for a unit root in time series regression
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Specification Tests in Econometrics

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• Random walk hypothesis [wikipedia]