On the distribution of the sample autocorrelation coefficients

DOI10.1016/j.jeconom.2009.06.010zbMath1431.62390MaRDI QIDQ2630152

Xiaolu Wang, Raymond Kan

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.06.010

zbMATH Keywords

rank-one update; finite sample distribution; sample autocorrelation coefficient

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Optimizing a basket against the efficient market hypothesis, Data-driven portmanteau tests for time series, The multiple testing problem for Box-Pierce statistics, Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models

Uses Software

• AS 155

Cites Work

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