Hostname: page-component-78c5997874-dh8gc Total loading time: 0 Render date: 2024-11-05T11:38:18.708Z Has data issue: false hasContentIssue false
  • English
  • Français

TESTING FOR ZERO AUTOCORRELATION WHEN THE INNOVATIONS BELONG TO THE NORMAL DOMAIN OF ATTRACTION OF A CAUCHY LAW

Published online by Cambridge University Press:  01 April 1999

Ralf Runde
Ralf Runde
Affiliation:
University of Dortmund
Get access Rights & Permissions [Opens in a new window]

Abstract

We consider the asymptotic null distribution of the empirical autocorrelation function when the innovations of a moving average process belong to the normal domain of attraction of a Cauchy law. A series expansion for the density of the limiting null distribution is developed, and some critical values of the tests are computed numerically.

Type
Research Article
Information
Econometric Theory , Volume 15 , Issue 2 , April 1999 , pp. 177 - 183
Copyright
© 1999 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)