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

Ralf Runde

Econometric Theory, 1999, vol. 15, issue 02, pages 177-183

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.

Date: 1999

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:15:y:1999:i:02:p:177-183_15

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