'Variance Ratio Tests: Small Sample Properties with an Application to International Output Data.' Journal of Business and Economics and Statistics, 12 (April 1994) p.177-186 (with P.-s. Lam).

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.