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Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1

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  • De Gooijer, Jan G.

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  • De Gooijer, Jan G., 1980. "Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1," Journal of Econometrics, Elsevier, vol. 14(3), pages 365-379, December.
    • Handle: RePEc:eee:econom:v:14:y:1980:i:3:p:365-379
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    Cited by:

    1. Palm, F.C. & Sneek, J.M., 1981. "Some econometric applications of the exact distribution of the ratio of two quadratic forms in normal variates," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    2. Jacob Boudoukh & Ronen Israel & Matthew P. Richardson, 2020. "Biases in Long-Horizon Predictive Regressions," NBER Working Papers 27410, National Bureau of Economic Research, Inc.
    3. Genton, Marc G., 1999. "The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution," Statistics & Probability Letters, Elsevier, vol. 41(2), pages 131-137, January.
    4. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    5. Hillier, Grant & Kan, Raymond & Wang, Xiaolu, 2009. "Computationally Efficient Recursions For Top-Order Invariant Polynomials With Applications," Econometric Theory, Cambridge University Press, vol. 25(1), pages 211-242, February.
    6. Paolella, Marc S., 2003. "Computing moments of ratios of quadratic forms in normal variables," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 313-331, March.
    7. Sneek, J.M., 1982. "Some approximations to the exact distribution of sample autocorrelations for autoregressive moving average models," Serie Research Memoranda 0002, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

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