On the distribution of the sample autocorrelation coefficients

Journal of Econometrics

Volumn 154, Issue 2, 2010, Pages 101-121

  Kan, Raymond ^a   Wang, Xiaolu ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

Finite sample distribution; Rank one update; Sample autocorrelation coefficient

Indexed keywords

AUTOCORRELATION COEFFICIENT; EFFICIENT ALGORITHM; ELLIPTICAL DISTRIBUTIONS; EXACT DISTRIBUTION; FINITE SAMPLE DISTRIBUTION; JOINT MOMENT; RANK-ONE UPDATE; SAMPLE AUTOCORRELATION COEFFICIENT; SAMPLE SIZES;

ALGORITHMS; CORRELATION DETECTORS; SAMPLING; STATISTICAL TESTS; TIME SERIES;

NORMAL DISTRIBUTION;

EID: 70349973035     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.06.010     Document Type: Article

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