Some robust exact results on sample autocorrelations and tests of randomness

Journal of Econometrics

Volumn 29, Issue 3, 1985, Pages 257-273

  Dufour, Jean Marie ^a   Roy, Roch ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002692005     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(85)90155-1     Document Type: Article

References (40)

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7. Elliptically symmetric distributions A review and bibliography
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9. Rank tests for serial dependence
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13. Exchangeability
14. The exact distributions of the serial correlation coefficients and an evaluation on some approximate distributions
15. Stochastic implications of the life cycle-permanent income hypothesis Theory and evidence
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17. Rational expectations and economic thought
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19. Some aspects of statistical inference in the linear regression model
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26. A note on serial correlation coefficients
27. Distributions of the noncircular serial correlation coefficients
28. Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
29. The exact moments of the least squares estimator for the autoregressive model
30. Some approximations to the exact distribution of sample autocorrelations for autoregressive moving average models
31. The efficiencies of tests of randomness against normal regression
32. Asymptotic expansions associated with the AR(1) model with unknown mean
33. An exact test for randomness in the non-parametric case based on serial correlation