TITLE:
Weighted Bootstrap Approach for the Variance Ratio Tests: A Test of Market Efficiency
AUTHORS:
Dilip Kumar
KEYWORDS:
Monte Carlo Experiment, Weighted Bootstrap, Variance Ratio, Return Predictability
JOURNAL NAME:
Theoretical Economics Letters,
Vol.6 No.3,
June
3,
2016
ABSTRACT: By means of Monte Carlo experiments using the weighted bootstrap, we
evaluate the size and power properties in small samples of Chow and Denning’s [1]
multiple variance ratio test and the automatic variance ratio test of Choi [2].
Our results indicate that the weighted bootstrap tests exhibit desirable size
properties and substantially higher power than corresponding conventional
tests.