DUFOUR, Jean-Marie; HALLIN, Marc - In: Annales d'Economie et de Statistique (1987) 6-7, pp. 411-434
This paper proposes nonparametric inference methods for the first-order autoregressive process. The problem studied is to test any hypothesis stating that the autocorrelation coefficient has a given value . We consider the family of tests based on rank autocorrelations from the model transformed...