{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,20]],"date-time":"2026-09-20T01:25:15Z","timestamp":1789867515149,"version":"4.0.1"},"reference-count":14,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2003,1,31]],"date-time":"2003-01-31T00:00:00Z","timestamp":1043971200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2003,4]]},"abstract":"<jats:p>The variance-ratio (VR) test statistic, which is based on \n<jats:italic>k<\/jats:italic>-period differences of the data, is commonly used in \nempirical finance and economics to test the random walk hypothesis. We \nobtain the asymptotic power function of the VR test statistic when the \ndifferencing period <jats:italic>k<\/jats:italic> is increasing with the sample size \n<jats:italic>n<\/jats:italic> such that <jats:italic>k<\/jats:italic>\/<jats:italic>n<\/jats:italic> \u2192 \u03b4 &gt; 0. We \nshow that the test is inconsistent against a variety of mean-reverting \nalternatives, confirm the result in simulations, and then characterize \nthe functional form of the asymptotic power in terms of \u03b4 and these \nalternatives.<\/jats:p>","DOI":"10.1017\/s0266466603192018","type":"journal-article","created":{"date-parts":[[2003,4,4]],"date-time":"2003-04-04T16:49:37Z","timestamp":1049474977000},"page":"231-239","source":"Crossref","is-referenced-by-count":34,"title":["ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST"],"prefix":"10.1017","volume":"19","author":[{"given":"Rohit S.","family":"Deo","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Matthew","family":"Richardson","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2003,1,31]]},"reference":[{"key":"S0266466603192018_ref002","doi-asserted-by":"crossref","unstructured":"Campbell, J. & N.G. Mankiw (1987)Are output fluctuations transitory? Quarterly Journal of Economics 102,857\u2013880.","DOI":"10.2307\/1884285"},{"key":"S0266466603192018_ref005","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(01)00038-X"},{"key":"S0266466603192018_ref014","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90086-X"},{"key":"S0266466603192018_ref001","doi-asserted-by":"crossref","unstructured":"Campbell, J. , A. Lo , & A. MacKinlay (1997)The Econometrics of Financial Markets.Princeton:Princeton University Press.","DOI":"10.1515\/9781400830213"},{"key":"S0266466603192018_ref007","doi-asserted-by":"crossref","unstructured":"Faust, J. (1992)When are variance ratio tests for serial dependence optimal? Econometrica 60,1215\u20131226.","DOI":"10.2307\/2951545"},{"key":"S0266466603192018_ref006","doi-asserted-by":"publisher","DOI":"10.1086\/261535"},{"key":"S0266466603192018_ref004","doi-asserted-by":"crossref","unstructured":"Cochrane, J. (1988)How big is the random walk in GNP? Journal of Political Economy 96,893\u2013920.","DOI":"10.1086\/261569"},{"key":"S0266466603192018_ref011","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90021-9"},{"key":"S0266466603192018_ref003","unstructured":"Chen, W. & R. Deo (2001)On Power Transformations of Linear Combinations of Positive RandomVariables to Improve Normality.Working paper,New York University."},{"key":"S0266466603192018_ref008","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/1.1.41"},{"key":"S0266466603192018_ref010","unstructured":"Perron, P. & C. Vodounou (2001)The Variance Ratio Test: An Analysis of Size and Power Based on aContinuous-Time Asymptotic Framework.Working paper,Boston University."},{"key":"S0266466603192018_ref009","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(89)90083-3"},{"key":"S0266466603192018_ref012","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.2.227"},{"key":"S0266466603192018_ref013","doi-asserted-by":"publisher","DOI":"10.1086\/296638"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466603192018","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,20]],"date-time":"2025-06-20T21:24:28Z","timestamp":1750454668000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466603192018\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2003,1,31]]},"references-count":14,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2003,12]]}},"alternative-id":["S0266466603192018"],"URL":"https:\/\/doi.org\/10.1017\/s0266466603192018","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2003,1,31]]}}}