%0 Journal Article
%T Weighted Bootstrap Approach for the Variance Ratio Tests: A Test of Market Efficiency
%A Dilip Kumar
%J Theoretical Economics Letters
%P 426-431
%@ 2162-2086
%D 2016
%I Scientific Research Publishing
%R 10.4236/tel.2016.63048
%X 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.
%K Monte Carlo Experiment
%K Weighted Bootstrap
%K Variance Ratio
%K Return Predictability
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=67088