Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series

Jean-Marie Dufour (), Abdeljelil Farhat () and Marc Hallin

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential bounds, Eaton-type bounds, Chebyshev bounds and Berry-Esséen-Zolotarev bounds. The bounds are exact in finite samples, distribution-free and easy to compute. The performance of the bounds is evaluated and compared with traditional serial dependence tests in a simulation experiment. The procedures proposed are applied to U.S. data on interest rates (commercial paper rate).

Keywords: autocorrelation; serial dependence; nonparametric test; distribution-free test; heterogeneity; heteroskedasticity; symmetric distribution; robustness; exact test; bound; exponential bound; large deviations; Chebyshev inequality; Berry-Esséen; interest rates (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 C32 E4 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2005
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Related works:
Journal Article: Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series (2006)
Working Paper: Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series (2006)
Working Paper: Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series (2005)
Working Paper: Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series (2005)
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