On the distribution of the sample autocorrelation coefficients

DOI10.1016/j.jeconom.2009.06.010zbMath1431.62390OpenAlexW3121692372MaRDI 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 updatefinite sample distributionsample autocorrelation coefficient

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

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

Uses Software

• AS 155

Cites Work

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• The Sampling Distribution of the Serial Correlation Coefficient
• Expectations of products of quadratic forms in normal variables
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• Note on the inversion theorem

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