from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive …

(Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these … tests perform better in the context of a dynamic model of the ADL type, which is not affected by serial correlation or …, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …

Yule (1926) introduced the concept of spurious or nonsense correlation, and showed by simulation that for some … distinguish between empirical and population correlation coefficients and show in a bivariate autoregressive model for … nonstationary variables that the empirical correlation and regression coefficients do not converge to the relevant population values …

paper we propose two test statistics for detecting linearity against semiparametric varying coefficient alternative …

used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …

markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship … among these markets while the Gregory-Hansen cointegration test rejects the null hypothesis of no cointegration with … structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic …

-stationarity and cointegration in both the time and spatial dimensions. This paper develops Granger representation theorems for spatial …