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A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of...
Persistent link: https://www.econbiz.de/10004979097
methodology is motivated by some recent economic theory literature on transactions costs, the limits to speculation and hysteresis …
Persistent link: https://www.econbiz.de/10005106315