Robust inference on correlation under general heterogeneity

Robust inference on correlation under general heterogeneity

Considerable evidence in past research shows size distortion in standard tests for zero autocorrelation or zero cross-correlation when time series are not independent identically distributed random variables, pointing to the need for more robust procedures. Recent tests for serial correlation and cr...

Full description

Saved in:
Bibliographic Details
Main Authors: GIRAITIS, Liudas, LI, Yuefei, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
Cross-correlation
Heteroskedasticity
Martingale differences
Serial correlation
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2735
https://ink.library.smu.edu.sg/context/soe_research/article/3734/viewcontent/RobustInference_pvoa_cc_by_nc.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2735
https://ink.library.smu.edu.sg/context/soe_research/article/3734/viewcontent/RobustInference_pvoa_cc_by_nc.pdf

Similar Items