TESTING FOR ZERO AUTOCORRELATION WHEN THE INNOVATIONS BELONG TO THE NORMAL DOMAIN OF ATTRACTION OF A CAUCHY LAW

DOI10.1017/S0266466699152022MaRDI QIDQ4512730zbMATH OpenFDO

Authors Ralf Runde

Publication date 2 September 2001

Published in Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

moving average processautocorrelation functionasymptotic null distribution

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
• On the asymptotic power of the likelihood ratio criterion for testing the hypothesis of nonstationarity of an autoregressive series with Cauchy innovations
• Asymptotic properties of some tests for autocorrelation
• A Cauchy estimator test for autocorrelation
• Testing independence in linear process with non-normal innovations

Cited in

(1)

• TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE

This page was built for publication: TESTING FOR ZERO AUTOCORRELATION WHEN THE INNOVATIONS BELONG TO THE NORMAL DOMAIN OF ATTRACTION OF A CAUCHY LAW

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4512730)