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Rank-based partial autocorrelations are not asymptotically distribution-free

Bernard Garel and Marc Hallin ()

Statistics & Probability Letters, 2000, vol. 47, issue 3, 219-227

Abstract: Traditional AR order-identification methods rely on an inspection of partial correlograms. The rank-based version of partial correlograms is investigated here. Unlike the rank-based versions of Lagrange multiplier test statistics considered in Hallin and Puri (1994, J. Multivariate Anal. 50, 175-237), rank-based partial autocorrelations unfortunately are not asymptotically distribution-free, and thus cannot be used for order-identification purposes.

Keywords: Time; series; Autoregressive; model; Rank; test; Order; identification; Robust; methods (search for similar items in EconPapers)
Date: 2000
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Working Paper: Rank-based partial autocorrelations are not asymptotically distribution-free (2000)
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Handle: RePEc:eee:stapro:v:47:y:2000:i:3:p:219-227