• myGriffith
    • Staff portal
    • Contact Us⌄
      • Future student enquiries 1800 677 728
      • Current student enquiries 1800 154 055
      • International enquiries +61 7 3735 6425
      • General enquiries 07 3735 7111
      • Online enquiries
      • Staff phonebook
    View Item 
    •   Home
    • Griffith Research Online
    • Journal articles
    • View Item
    • Home
    • Griffith Research Online
    • Journal articles
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

  • All of Griffith Research Online
    • Communities & Collections
    • Authors
    • By Issue Date
    • Titles
  • This Collection
    • Authors
    • By Issue Date
    • Titles
  • Statistics

  • Most Popular Items
  • Statistics by Country
  • Most Popular Authors
  • Support

  • Contact us
  • FAQs
  • Admin login

  • Login
  • On the size and power of testing for no autocorrelation under weak assumptions

    Author(s)
    Su, Jen-Je
    Griffith University Author(s)
    Su, Jen-Je
    Year published
    2005
    Metadata
    Show full item record
    Abstract
    Recently, Lobato (Journal of the American Statistical Association, 96, 1066-76, 2001) proposed a robust test of no autocorrelation on a time series when the series is possibly dependent. While the Lobato test is shown to be accurate in size, its power performance is unsatisfactory. This paper seeks to improve the power of the Lobato test without comprising its good size property. Based on the recent works of Jansson (2004) and Phillips et al. (2003), two classes of modified Lobato tests are suggested. It is found that the Lobato test and its Phillips-Sun-Jin modification exhibit very similar control over size while the Jansson ...
    View more >
    Recently, Lobato (Journal of the American Statistical Association, 96, 1066-76, 2001) proposed a robust test of no autocorrelation on a time series when the series is possibly dependent. While the Lobato test is shown to be accurate in size, its power performance is unsatisfactory. This paper seeks to improve the power of the Lobato test without comprising its good size property. Based on the recent works of Jansson (2004) and Phillips et al. (2003), two classes of modified Lobato tests are suggested. It is found that the Lobato test and its Phillips-Sun-Jin modification exhibit very similar control over size while the Jansson modification tends to be more vulnerable to size distortion. It is also found that both modified tests dominate the Lobato test in terms of local asymptotic power and in terms of finite sample power and the Phillips-Sun-Jin modification seems to outperform the Jansson modification. Autocorrelations in monthly financial asset (stock/bond) returns are investigated.
    View less >
    Journal Title
    Applied Financial Economics
    Volume
    15
    Issue
    4
    DOI
    https://doi.org/10.1080/0960310042000319237
    Subject
    Applied Economics
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/27527
    Collection
    • Journal articles

    Footer

    Disclaimer

    • Privacy policy
    • Copyright matters
    • CRICOS Provider - 00233E

    Tagline

    • Gold Coast
    • Logan
    • Brisbane - Queensland, Australia
    First Peoples of Australia
    • Aboriginal
    • Torres Strait Islander