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 2, 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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