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  • Testing for no Autocorrelation under Weak Assumptions

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    76646_1.pdf (111.4Kb)
    Author(s)
    Su, Jen-Je
    Griffith University Author(s)
    Su, Jen-Je
    Year published
    2011
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    Abstract
    This paper extends the sharp kernel based autocorrelation test suggested in Su (2005) by implementing a data-driven selection for the power parameter in the regarding long-run variance estimation. The test is shown to be robust and powerful by means of simulation. An application of the test on asset returns is provided.This paper extends the sharp kernel based autocorrelation test suggested in Su (2005) by implementing a data-driven selection for the power parameter in the regarding long-run variance estimation. The test is shown to be robust and powerful by means of simulation. An application of the test on asset returns is provided.
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    Journal Title
    The Empirical Economics Letters
    Volume
    10
    Issue
    12
    Publisher URI
    http://www.eel.my100megs.com/volume-10-number-12.htm
    Copyright Statement
    © 2011 Rajshahi University. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Time-Series Analysis
    Economic Theory
    Applied Economics
    Econometrics
    Publication URI
    http://hdl.handle.net/10072/45008
    Collection
    • Journal articles

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