Abstract
We provide a family of tests for the IID hypothesis based on generalized runs, powerful against unspecified alternatives, providing a useful complement to tests designed for specific alternatives, such as serial correlation, GARCH, or structural breaks. Our tests have appealing computational simplicity in that they do not require kernel density estimation, with the associated challenge of bandwidth selection. Simulations show levels close to nominal asymptotic levels. Our tests have power against both dependent and heterogeneous alternatives, as both theory and simulations demonstrate.
| Original language | English |
|---|---|
| Pages (from-to) | 326-344 |
| Number of pages | 19 |
| Journal | Journal of Econometrics |
| Volume | 162 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2011 Jun 1 |
All Science Journal Classification (ASJC) codes
- Economics and Econometrics
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Cite this
Cho, J. S., & White, H. (2011). Generalized runs tests for the IID hypothesis. Journal of Econometrics, 162(2), 326-344. https://doi.org/10.1016/j.jeconom.2011.02.001