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| Author: | Campbell, B. Dufour, J. |
| Title: | Exact nonparametric orthogonality and random walk tests |
| Journal: | Review of Economics and Statistics
1995 : FEB, VOL. 77:1, p. 1-16 |
| Index terms: | RANDOM NUMBERS ECONOMICS TESTS |
| Language: | eng |
| Abstract: | The hypothesis that a variable is independent of past information, such as its own past and past realizations of other observable variables, is a frequent implication of economic theory. Yet standard regression-based tests of orthogonality may not have the correct level if there is feedback from innovations to future values of the regressors. In this paper the authors develop nonparametric tests of orthogonality based on signs and signed ranks which are proved to reject at their nominal levels over a wide class of models admitting feedback. |
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