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Adaptive permutation tests for serial independence
Author(s) -
Tran Lanh,
Chu Ba,
Huang Chunfeng,
Huynh Kim P.
Publication year - 2014
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/stan.12028
Subject(s) - permutation (music) , independence (probability theory) , random permutation , random walk , mathematics , econometrics , statistics , statistical hypothesis testing , autocorrelation , algorithm , combinatorics , symmetric group , physics , acoustics
Permutation tests for serial independence using three different statistics based on empirical distributions are proposed. These tests are shown to be consistent under the alternative of m ‐dependence and are all simple to perform in practice. A small simulation study demonstrates that the proposed tests have good power in small samples. The tests are then applied to Canadian gross domestic product (GDP data), corroborating the random‐walk hypothesis of GDP growth.