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Journal of Business & Economic Statistics Volume 12, 1994 - Issue 2
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Original Articles

Variance-Ratio Tests: Small-Sample Properties With an Application to International Output Data

Stephen G. Cecchetti Department of Economics, Ohio State University, Columbus, OH, 43210
&
Pok-sang LAM Department of Economics, Ohio State University, Columbus, OH, 43210
Pages 177-186 | Published online: 02 Jul 2012
 
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Abstract

Two aspects of statistical inference using variance-ratio statistics are studied, (1) the accuracy of asymptotic approximations in small samples and (2) the size distortion arising from searching over many horizons in deciding whether to reject a model. A joint test combining variance-ratio statistics at various horizons is proposed, and a Monte Carlo procedure for conducting exact inference is provided. The real output data of nine countries are used to discuss these issues.

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