You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Excellent as always! My Notes: 00:59 Reminder: VRT 3:00 Principles: extension of McKinley and Lo 5:58 Homeoskedasticity case 10:22 Accounting for Heteroskedasticity: Delta of Autocorrelation coefficient 15:05 Z-stat comparison (Homeo- Vs Heteroskedasticity) 18:00 Multiple testing adjustment: Chow and Denning Method 19:30 Conclusion: Type 1 error
Can you provide further clarity on your final conclusion based on the chow-denning adjustment? Is there partial evidence of weak form market inefficiency?
Hi James, and thanks for the question! As per the test output, there is no evidence of market inefficiency if heteroskedasticity and multiple testing are adjusted for due to the Chow-Denning p-value being above 10%.
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Excellent as always! My Notes:
00:59 Reminder: VRT
3:00 Principles: extension of McKinley and Lo
5:58 Homeoskedasticity case
10:22 Accounting for Heteroskedasticity: Delta of Autocorrelation coefficient
15:05 Z-stat comparison (Homeo- Vs Heteroskedasticity)
18:00 Multiple testing adjustment: Chow and Denning Method
19:30 Conclusion: Type 1 error
Thank you so much!
Can you provide further clarity on your final conclusion based on the chow-denning adjustment? Is there partial evidence of weak form market inefficiency?
Hi James, and thanks for the question! As per the test output, there is no evidence of market inefficiency if heteroskedasticity and multiple testing are adjusted for due to the Chow-Denning p-value being above 10%.
Wellcome Again...