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dc.contributor.authorSu, Jen-Je
dc.date.accessioned2017-05-03T15:26:41Z
dc.date.available2017-05-03T15:26:41Z
dc.date.issued2005
dc.identifier.issn09603107
dc.identifier.doi10.1080/0960310042000319237
dc.identifier.urihttp://hdl.handle.net/10072/27527
dc.description.abstractRecently, 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.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge
dc.publisher.placeUK
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom247
dc.relation.ispartofpageto257
dc.relation.ispartofissue4
dc.relation.ispartofjournalApplied Financial Economics
dc.relation.ispartofvolume15
dc.rights.retentionY
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode3502
dc.titleOn the size and power of testing for no autocorrelation under weak assumptions
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.date.issued2015-02-11T04:02:49Z
gro.hasfulltextNo Full Text
gro.griffith.authorSu, Jen-Je


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