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dc.contributor.authorDufour, Jean Marie
dc.contributor.authorFarhat, Abdeljelil
dc.contributor.authorHALLIN, Marc
dc.date.accessioned2006-09-22T19:56:41Z
dc.date.available2006-09-22T19:56:41Z
dc.date.issued2005
dc.identifier.citationDUFOUR, Jean-Marie, FARHAT, Abdekjelik et HALLIN, Marc, «Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series», Cahier de recherche #2005-05, Département de sciences économiques, Université de Montréal, 2005, 43 pages.fr
dc.identifier.urihttp://hdl.handle.net/1866/534
dc.format.extent380726 bytes
dc.format.mimetypeapplication/pdf
dc.publisherUniversité de Montréal. Département de sciences économiques.fr
dc.subjectautocorrelation
dc.subjectserial dependence
dc.subjectnonparametric test
dc.subjectdistribution-free test
dc.subjectheterogeneity
dc.subjectheteroskedasticity
dc.subjectsymmetric distribution
dc.subjectrobustness
dc.subjectexact test
dc.subjectbound
dc.subjectexponential bound
dc.subjectlarge deviations
dc.subjectChebyshev inequality
dc.subjectBerry-Esséen
dc.subjectinterest rates
dc.subject[JEL:C14] Mathematical and Quantitative Methods - Econometric and Statistical Methods: General - Semiparametric and Nonparametric Methodsen
dc.subject[JEL:C22] Mathematical and Quantitative Methods - Econometric Methods: Single Equation Models; Single Variables - Time-Series Modelsen
dc.subject[JEL:C12] Mathematical and Quantitative Methods - Econometric and Statistical Methods: General - Hypothesis Testingen
dc.subject[JEL:C32] Mathematical and Quantitative Methods - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors - Time-Series Modelsen
dc.subject[JEL:C14] Mathématiques et méthodes quantitatives - Économétrie et méthodes statistiques; généralités - Méthodes semiparamétriques et nonparamétriquesfr
dc.subject[JEL:C22] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équation unique - Modèles de séries chronologiquesfr
dc.subject[JEL:C12] Mathématiques et méthodes quantitatives - Économétrie et méthodes statistiques; généralités - Tests d'hypothèsesfr
dc.subject[JEL:C32] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équations multiples et simultanées - Modèles de séries chronologiquesfr
dc.titleDistribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
dc.typeArticle
dcterms.abstractWe 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).
dcterms.bibliographicCitationCahier de recherche ; #2005-05
dcterms.isPartOfurn:ISSN:0709-9231
UdeM.VersionRioxxVersion publiée / Version of Record


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