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

DOI10.1017/S0266466699152022zbMath0967.62070MaRDI QIDQ4512730

Ralf Runde

Publication date: 2 September 2001

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

autocorrelation functionmoving average processasymptotic null distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

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