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...
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Institutional Knowledge at Singapore Management University
2024
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| 在線閱讀: | 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 |
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| 機構: | Singapore Management University |
| 語言: | English |