Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models

Mathematics

• Martingale Difference 100%
• Time Series Models 84%
• Testing 52%
• Divergence 47%
• Null Distribution 23%
• Asymptotic distribution 18%
• Martingale Difference Sequence 15%
• Local Alternatives 13%
• Error term 10%
• Critical value 9%
• Parameter Estimation 9%
• Sample Size 8%
• Simulation Study 7%
• Alternatives 6%
• Class 6%

Business & Economics

• Multivariate Time Series 97%
• Martingale 88%
• Matrix 47%
• Asymptotic Distribution 25%
• Sample Size 14%
• Process Parameters 14%
• Data Generating Process 13%
• Parameter Estimation 12%
• Simulation Study 10%
• Usefulness 8%
• Alternatives 5%

Social Sciences

• divergence 51%
• simulation 8%
• literature 4%