Adjusted-range-based self-normalized autocorrelation tests

Jiajing Sun, Meiting Zhu and Oliver Linton

Economics Letters, 2025, vol. 251, issue C

Abstract: This paper presents adjusted range-based self-normalized tests for the autocorrelation function (ACF) in time series, which is crucial for understanding the dependence structure and making reliable statistical inferences. Our approach offers improved performance, especially when testing for the presence of first-order ACF. We demonstrate the efficacy of these tests through simulations and apply them to analyze COVID-19 case counts in Beijing. The results confirm the robustness of our methods, promising significant advancements in the detection of temporal dependence in complex data settings.

Keywords: ACF tests; Self-normalization; Time series analysis; Long-run variance estimation; Non-parametric statistics (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:251:y:2025:i:c:s0165176525001521

DOI: 10.1016/j.econlet.2025.112315

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