[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/fth/pennfi/12-91.html
   My bibliography  Save this paper

Robust Power Calculations with Tests for Serial Correlation in Stock Returns

Author

Listed:
  • Matthew Richardson
  • Tom Smith
Abstract
This paper provides an asymptotically most powerful test for a particular class of statistics which test the hypothesis of no serial correlation. This class includes many of the statistics employed in the recent finance and macroeconomics literature. Furthermore, with respect to a popular mean reversion alternative model, we show that the asymptotically most powerful test is quite robust to distributional specifications.

Suggested Citation

  • Matthew Richardson & Tom Smith, "undated". "Robust Power Calculations with Tests for Serial Correlation in Stock Returns," Rodney L. White Center for Financial Research Working Papers 12-91, Wharton School Rodney L. White Center for Financial Research.
    • Handle: RePEc:fth:pennfi:12-91
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Perron, Pierre & Vodounou, Cosme, 2004. "Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 203-230, March.
    2. Campbell, John Y., 2001. "Why long horizons? A study of power against persistent alternatives," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 459-491, December.
    3. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fth:pennfi:12-91. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Krichel (email available below). General contact details of provider: https://edirc.repec.org/data/rwupaus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.