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TESTING FOR ZERO AUTOCORRELATION WHEN THE INNOVATIONS BELONG TO THE NORMAL DOMAIN OF ATTRACTION OF A CAUCHY LAW

Published online by Cambridge University Press:  01 April 1999

Ralf Runde
Ralf Runde
Affiliation:
University of Dortmund
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Abstract

We consider the asymptotic null distribution of the empirical autocorrelation function when the innovations of a moving average process belong to the normal domain of attraction of a Cauchy law. A series expansion for the density of the limiting null distribution is developed, and some critical values of the tests are computed numerically.

Type
Research Article
Information
Econometric Theory , Volume 15 , Issue 2 , April 1999 , pp. 177 - 183
Copyright
© 1999 Cambridge University Press

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