Generalized spectral tests for the martingale difference hypothesis

^aThis article proposes a test for the Martingale Difference Hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are inconsistent against uncorrelated non-martingales processes. Here, we generalize the spectral test of Durlauf (1991) for testing the MDH taking into account linear and nonlinear dependence. Our test considers dependence at all lags and is consistent against general pairwise nonparametric Pitman's local alternatives converging at the parametric rate n^(-1/2), with n the sample size. Furthermore, with our methodology there is no need to choose a lag order, to smooth the data or to formulate a parametric alternative. Our approach can be easily extended to specification testing of the conditional mean of possibly nonlinear models. The asymptotic null distribution of our test depends on the data generating process, so a bootstrap procedure is proposed and theoretically justified. Our bootstrap test is robust to higher order dependence, in particular to conditional heteroskedasticity. A Monte Carlo study examines the finite sample performance of our test and shows that it is more powerful than some competing tests. Finally, an application to the S and P 500 stock index and exchange rates highlights the merits of our approach

Generalized spectral tests for the martingale difference hypothesis

This article proposes a test for the martingale difference hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are inconsistent against uncorrelated non-martingales processes. Here, we generalize the spectral test of Durlauf (1991) for testing the MDH taking into account linear and nonlinear dependence. Our test considers dependence at all lags and is consistent against general pairwise nonparametric Pitman's local alternatives converging at the parametric rate n-1/2, with n the sample size. Furthermore, with our methodology there is no need to choose a lag order, to smooth the data or to formulate a parametric alternative. Our approach could be extended to specification testing of the conditional mean of possibly nonlinear models. The asymptotic null distribution of our test depends on the data generating process, so a bootstrap procedure is proposed and theoretically justified. Our bootstrap test is robust to higher order dependence, in particular to conditional heteroskedasticity. A Monte Carlo study examines the finite sample performance of our test and shows that it is more powerful than some competing tests. Finally, an application to the S&P 500 stock index and exchange rates highlights the merits of our approach.Publicad

Testing the martingale difference hypothesis using integrated regression functions

An omnibus test for testing a generalized version of the martingale difference hypothesis (MDH) is proposed. This generalized hypothesis includes the usual MDH, testing for conditional moments constancy such as conditional homoscedasticity (ARCH effects) or testing for directional predictability. A unified approach for dealing with all of these testing problems is proposed. These hypotheses are long standing problems in econometric time series analysis, and typically have been tested using the sample autocorrelations or in the spectral domain using the periodogram. Since these hypotheses cover also nonlinear predictability, tests based on those second order statistics are inconsistent against uncorrelated processes in the alternative hypothesis. In order to circumvent this problem pairwise integrated regression functions are introduced as measures of linear and nonlinear dependence. The proposed test does not require to chose a lag order depending on sample size, to smooth the data or to formulate a parametric alternative model. Moreover, the test is robust to higher order dependence, in particular to conditional heteroskedasticity. Under general dependence the asymptotic null distribution depends on the data generating process, so a bootstrap procedure is considered and a Monte Carlo study examines its finite sample performance. Then, the martingale and conditional heteroskedasticity properties of the Pound/Dollar exchange rate are investigated.Publicad

Specification Tests of Parametric Dynamic Conditional Quantiles

This article proposes omnibus specification tests of parametric dynamic quantile regression models. Contrary to the existing procedures, we allow for a flexible and general specification framework where a possibly continuum of quantiles are simultaneously specified. This is the case for many econometric applications for both time series and cross section data which require a global diagnostic tool. We study the asymptotic distribution of the test statistics under fairly weak conditions on the serial dependence in the underlying data generating process. It turns out that the asymptotic null distribution depends on the data generating process and the hypothesized model. We propose a subsampling procedure for approximating the asymptotic critical values of the tests. An appealing property of the proposed tests is that they do not require estimation of the non-parametric (conditional) sparsity function. A Monte Carlo study compares the proposed tests and shows that the asymptotic results provide good approximations for small sample sizes. Finally, an application to some European stock indexes provides evidence that our methodology is a powerful and flexible alternative to standard backtesting procedures in evaluating market risk by using information from a range of quantiles in the lower tail of returns.

Testing the martingale difference hypothesis using integrated regression functions.

An omnibus test for testing a generalized version of the martingale difference hypothesis (MDH) is proposed. This generalized hypothesis includes the usual MDH, testing for conditional moments constancy such as conditional homoscedasticity (ARCH effects) or testing for directional predictability. A unified approach for dealing with all of these testing problems is proposed. These hypotheses are long standing problems in econometric time series analysis, and typically have been tested using the sample autocorrelations or in the spectral domain using the periodogram. Since these hypotheses cover also nonlinear predictability, tests based on those second order statistics are inconsistent against uncorrelated processes in the alternative hypothesis. In order to circumvent this problem pairwise integrated regression functions are introduced as measures of linear and nonlinear dependence. The proposed test does not require to chose a lag order depending on sample size, to smooth the data or to formulate a parametric alternative model. Moreover, the test is robust to higher order dependence, in particular to conditional heteroskedasticity. Under general dependence the asymptotic null distribution depends on the data generating process, so a bootstrap procedure is considered and a Monte Carlo study examines its finite sample performance. Then, the martingale and conditional heteroskedasticity properties of the Pound/Dollar exchange rate are investigated.Nonlinear time series; Martingale difference hypothesis; Empirical processes; Exchange rates;

Generalized spectral tests for the martingale difference hypothesis.

This article proposes a test for the martingale difference hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are inconsistent against uncorrelated non-martingales processes. Here, we generalize the spectral test of Durlauf (1991) for testing the MDH taking into account linear and nonlinear dependence. Our test considers dependence at all lags and is consistent against general pairwise nonparametric Pitman's local alternatives converging at the parametric rate n-1/2, with n the sample size. Furthermore, with our methodology there is no need to choose a lag order, to smooth the data or to formulate a parametric alternative. Our approach could be extended to specification testing of the conditional mean of possibly nonlinear models. The asymptotic null distribution of our test depends on the data generating process, so a bootstrap procedure is proposed and theoretically justified. Our bootstrap test is robust to higher order dependence, in particular to conditional heteroskedasticity. A Monte Carlo study examines the finite sample performance of our test and shows that it is more powerful than some competing tests. Finally, an application to the S&P 500 stock index and exchange rates highlights the merits of our approach.Martingale difference hypothesis; Hilbert spaces; Generalized spectral distribution; Characteristic function; S&P 500 stock index; Exchange rates;

El azar de las fronteras

La migración internacional nos enfrenta con problemas irresolubles desde la figura moderna del Estado nacional, su concepto de ciudadanía y su noción de justicia. Juan Carlos Velasco critica las limitaciones y la orientación de las políticas contemporáneas que nos hacen percibir a la migración como una “invasión”, y propone un modo radicalmente diferente de entender e intervenir el fenómeno desde lo trasnacional. Nacer de uno u otro lado de una línea divisoria es un evento azaroso, no obstante delimitar la frontera es una construcción histórico-política: la desigualdad en las oportunidades que ofrecen las naciones es una situación estructural de injusticia que se perpetúa con las políticas de exclusión de los migrantes y la deslegitimación de su derecho a buscar una vida mejor. Esa circunstancia genera fracturas sociales, injustificables pero normalizadas, que imposibilitan alcanzar la justicia global. Velasco presenta un análisis completo que abarca las dimensiones política, jurídica y moral del tema, en el que lleva a la filosofía política a un terreno práctico del que se desprenden las claves para entender y actuar en esta nueva era en la que, debido a los conflictos sociales y políticos, la migración vuelve a ser argumento de discusión relevante. (Texto de la CONTRAPORTADA del libro

Analysis of the use and design of rubrics in competency assessment in engineering degrees

Velasco-Martínez, L. C. & Tójar-Hurtado, J. C. (2016). Analysis of the use and design of rubrics in competency assessment in engineering degrees. In F. J. García-Peñalvo (Ed.). Fourth International Conference on Technological Ecosystems for Enhancing Multiculturality. (pp. 177-184). New York, NY.: The Association for Computing MachineryThe defining, implementation and assessment of competencies are challenges for new undergraduate and Master’s degrees which must respond to current education demands. The use of rubrics in universities is considered an instrument of innovation and educational change that transforms assessment practices, both for students and educators. Furthermore, new education, focusing on the development of student competencies, implies a profound modification, not only of assessment approaches, but also of the approach towards education, instruction and teaching. Since their appearance in the university environment, the application of competencies in assessment systems has progressively grown. But, there is yet to be a solid body of knowledge providing evidence of the use of rubrics by educators as assessment instruments. In this study, rubrics have been analysed in 50 educators from the engineering departments of distinct Spanish universities. The rubrics used represent a wide variety of courses and university centres. A comparative analysis allows us to determine how these rubrics are being used (or not) to assess competencies. To do so, the type of works and tasks to which they are applied has been revealed, as well as the technical and pedagogical aspects that are considered by the educators in their design. The results and conclusions allow us to detect the educational needs of the teaching staff that hopes to use rubrics to assess competencies.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech. Universidad de Salamanca, IUCE, GRIAL, ICP

New Perspectives of Distributive Justice in the Age of Globalization

This article defends the need of a cosmopolitan perspective within the contemporary debates in Political Philosophy, a perspective from which the demands of distributive justice can be consistently enforced. This point will be addressed in four parts. In a first step, we will present the unavoidable background of contemporary thought about justice: globalization (1). Next, the decidedly state-centered perspective related to the still hegemonic idea of social justice will be highlighted (2). The third part will take note of globalist reactions to the prevailing methodological nationalism (3). And finally, we will emphasize the need to design minimal global institutions that make it possible to implement the universalist requirements of justice with a cosmopolitan slant (4).Peer reviewe

Política migratoria de fronteras abiertas: Un paso hacia la justicia global

[EN] In this article we argue for a world in which open borders are the rule and not the exception. This argument is based on the general recognition of ius migrandi as a basic right of persons. An open-border immigration policy is preferable—at least from a normative standpoint—to the typical policies designed to control or block borders through the simplistic mode of constructing walls. On the basis of a global conception of distributive justice as suggested by cosmopolitan egalitarians, we claim that open-door policies—or, failing in that, the implementation of a system of economic compensation for poor countries—provide powerful means to respond to the enormous inequalities that exist between countries and represent an appropriate way to order current migratory flows.[ES] En este artículo se arguye a favor de un mundo en donde las fronteras abiertas sean la regla y no la excepción. Para ello, se presentan dos tipos de argumentos. El primero se basa en el reconocimiento general del ius migrandi como un derecho fundamental de las personas. Además de un modo idóneo de ordenar los actuales flujos migratorios, una política migratoria de fronteras abiertas es preferible, al menos desde un punto de vista normativo, a las habituales políticas diseñadas para controlar o bloquear las fronteras mediante la construcción de muros. El segundo se asienta sobre una concepción global de la justicia distributiva desarrollada por los igualitaristas cosmopolitas, se sostiene que una política de puertas abiertas –o, en su defecto, un modelo de compensación económica– constituiría un modo de responder a las enormes desigualdades existentes entre los países.Peer reviewe