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A consistent and robust test for autocorrelated jump occurrences

Kwok, Simon Sai Man - In: Journal of financial econometrics 22 (2024) 1, pp. 157-186

Persistent link: https://www.econbiz.de/10014526309

A simple nonparametric test for the equality of autocorrelation structures of two stochastic processes, with application to experimental data

Pudney, Stephen E.; Deadman, Derek F.; Clark, F. - 1997

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More on the F-test under nonspherical disturbances

Krämer, Walter; Hanck, Christoph - In: Statistical inference, econometric analysis and matrix …, (pp. 179-184). 2009

Persistent link: https://www.econbiz.de/10003780986

More on the F-test under nonspherical disturbances

Krämer, Walter; Hanck, Christoph - 2008

behaviour induced by spatial autocorrelation, and that the conservative variant is more likely to occur for extreme values of … the spatial autocorrelation parameter. In particular, it will wipe out the progressive one as the sample size increases …. -- F-test ; spatial autocorrelation …

Persistent link: https://www.econbiz.de/10003835947

Adaptive rate-optimal detection of small autocorrelation coefficient

Guay, Alain; Guerre, Emmanuel; Lazarová, Štepána - 2009

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...