autocorrelation, especially in the context of time-series models, has received little attention. As a rule of thumb, one might attempt … autocorrelation in quantile regression models, which does not suffer from size distortion. Monte Carlo simulations demonstrate that …

in both time-series and panel datasets. However, how to test for possible autocorrelation, especially in the context of … quantiles. We then propose two correct tests (named the F-test and the QR-LM test) for autocorrelation in quantile models, which …

Time series are demeaned when sample autocorrelation functions are computed. By the same logic it would seem appealing … to remove seasonal means from seasonal time series before computing sample autocorrelation functions. Yet, standard … series are seasonally demeaned has very important consequences on the asymptotic behavior of autocorrelation functions …

coefficients d'autocorrélation : bornes exponen-tielles, bornes de type Eaton, bornes de Chebyshev et bornes de Berry … la performance des bornes et comparons celle-ci à celle de tests d'autocorrélation traditionnels. Les procédures …