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Data-Driven Smooth Tests for the Martingale Difference Hypothesis

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Figure

Table 1: Power and Size of Tests at 5% for the model 3.
Table 4: p-values of the tests. S&P 500 and some of its components.
Figure 2: Fitted model (8) for S &P 500 -4 -3 -2 -1 0 1 2 3 4-3-2.5-2-1.5-1-0.500.51 Y (t-1)

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