Econometrica Vol. 60 No. 5 1992
When are Variance Ratio Tests for Serial Dependence Optimal?
Abstract
This paper considers a class of statistics that can be written as the ratio of the sample variance of a filtered time series to the sample variance of the original series. Any such statistic is shown to be optimal under normality for testing a null of white noise against some class of serially dependent alternatives. A simple characterization of the alternative class is provided. The results are used to show that a variance ratio test for mean reversion is an optimal test and to illustrate the forms of mean reversion it is best at detecting.
- DOI
- 10.2307/2951545
- Volume
- 60
- Issue
- 5
- Pages
- 1215
- Sources
- bibtex:phds-export.bib crossref openalex