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Testing for the Markov Property in Time Series

id：2143 时间：20131014 status：published 点击数：
杂志Econometric Theory   
作者Bin Chen, Yongmiao Hong
正文The Markov property is a fundamental property in time series analysis and is often assumed in economic and …nancial modelling. We develop a new test for the Markov property using the conditional characteristic function embedded in a frequency domain approach, which checks the implication of the Markov property in every conditional moment (if exists) and over many lags. The proposed test is applicable to both univariate and multivariate time series with discrete or continuous distributions. Simulation studies show that with the use of a smoothed nonparametric transition density-based bootstrap procedure, the proposed test has reasonable sizes and all-around power against several popular non-Markov alternatives in …nite samples. We apply the test to a number of …nancial time series and …nd some evidence against the Markov property.
JEL-Codes：C1, C4, G0
关键词：Conditional characteristic function, Generalized cross-spectrum, Markov property, Smoothed nonparametric bootstrap
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