Testing for no Autocorrelation under Weak Assumptions
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.
Journal Title
The Empirical Economics Letters
Volume
10
Issue
12
Publisher URI
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