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

Dufour, Jean Marie; Farhat, Abdeljelil; HALLIN, Marc

dc.contributor.author	Dufour, Jean Marie
dc.contributor.author	Farhat, Abdeljelil
dc.contributor.author	HALLIN, Marc
dc.date.accessioned	2006-09-22T19:56:41Z
dc.date.available	2006-09-22T19:56:41Z
dc.date.issued	2005
dc.identifier.uri	http://hdl.handle.net/1866/534
dc.format.extent	380726 bytes
dc.format.mimetype	application/pdf
dc.publisher	Université de Montréal. Département de sciences économiques.	fr
dc.subject	autocorrelation
dc.subject	serial dependence
dc.subject	nonparametric test
dc.subject	distribution-free test
dc.subject	heterogeneity
dc.subject	heteroskedasticity
dc.subject	symmetric distribution
dc.subject	robustness
dc.subject	exact test
dc.subject	bound
dc.subject	exponential bound
dc.subject	large deviations
dc.subject	Chebyshev inequality
dc.subject	Berry-Esséen
dc.subject	interest rates
dc.subject	[JEL:C14] Mathematical and Quantitative Methods - Econometric and Statistical Methods: General - Semiparametric and Nonparametric Methods	en
dc.subject	[JEL:C22] Mathematical and Quantitative Methods - Econometric Methods: Single Equation Models; Single Variables - Time-Series Models	en
dc.subject	[JEL:C12] Mathematical and Quantitative Methods - Econometric and Statistical Methods: General - Hypothesis Testing	en
dc.subject	[JEL:C32] Mathematical and Quantitative Methods - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors - Time-Series Models	en
dc.subject	[JEL:C14] Mathématiques et méthodes quantitatives - Économétrie et méthodes statistiques; généralités - Méthodes semiparamétriques et nonparamétriques	fr
dc.subject	[JEL:C22] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équation unique - Modèles de séries chronologiques	fr
dc.subject	[JEL:C12] Mathématiques et méthodes quantitatives - Économétrie et méthodes statistiques; généralités - Tests d'hypothèses	fr
dc.subject	[JEL:C32] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équations multiples et simultanées - Modèles de séries chronologiques	fr
dc.title	Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
dc.type	Article
dc.contributor.affiliation	Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques
dcterms.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).
dcterms.isPartOf	urn:ISSN:0709-9231
UdeM.VersionRioxx	Version publiée / Version of Record
oaire.citationTitle	Cahier de recherche
oaire.citationIssue	2005-05

Files in this item

Name:: 2005-05.pdf
Size:: 371.8Kb
Format:: PDF

This item appears in the following Collection(s)

Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications [564]

Show item record

This document disseminated on Papyrus is the exclusive property of the copyright holders and is protected by the Copyright Act (R.S.C. 1985, c. C-42). It may be used for fair dealing and non-commercial purposes, for private study or research, criticism and review as provided by law. For any other use, written authorization from the copyright holders is required.