Robust Power Calculations with Tests for Serial Correlation in Stock Returns

Matthew Richardson and Tom Smith

Rodney L. White Center for Financial Research Working Papers from Wharton School Rodney L. White Center for Financial Research

Abstract: This paper provides an asymptotically most powerful test for a particular class of statistics which test the hypothesis of no serial correlation. This class includes many of the statistics employed in the recent finance and macroeconomics literature. Furthermore, with respect to a popular mean reversion alternative model, we show that the asymptotically most powerful test is quite robust to distributional specifications.

References: Add references at CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:pennfi:12-91

Access Statistics for this paper

More papers in Rodney L. White Center for Financial Research Working Papers from Wharton School Rodney L. White Center for Financial Research Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().