Lobato, I.N.; Nankervis, John C.; Savin, N.E. - Department of Economics, Tippie College of Business - 1999
The problem addressed in this paper is to test the null hypothesis that a time series process is uncorrelated up to lag K in the presence of statistical dependence. We propose a robust test that is asymptotically distributed as chi-square when the null is true. The test is based on a consistent...
