Analytic Small Sample Bias and Standard Error Calculations for Tests of Serial Correlation in Market Returns

Michael Smith () and N.Y. Naik

No 6/97, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This article derives analystic finite sample approximations to the bias and standard error of a class of statistics which test the hypothesis of no serial correlation in market returns. They offer an alternative to both the widely used Monte Carlo approach for calculating the bias, as well as asymptotic standard error calculations.

Keywords: STATISTICS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1997
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