Adjusted-range-based self-normalized autocorrelation tests

DOI10.1016/J.ECONLET.2025.112315MaRDI QIDQ6957284zbMATH OpenFDO

Authors Jiajing Sun, Meiting Zhu, Oliver Linton

Publication date 16 July 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2025.112315

zbMATH Keywords

self-normalizationtime series analysislong-run variance estimationnon-parametric statisticsACF tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites work

• scientific article; zbMATH DE number 3059918 (Why is no real title available?)
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• Yongmiao Hong, Oliver Linton, Jiajing Sun, and Meiting Zhu's contribution to the discussion of `the Discussion Meeting on Probabilistic and statistical aspects of machine learning'

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