Distributions escaping to infinity and the limiting power of the Cliff-Ord test for autocorrelation

We consider a family of proper random variables which converges to an improper random variable. The limit in distribution is found and applied to obtain a closed-form expression for the limiting power of the Cliff-Ord test for autocorrelation. The applications include the theory of characteristic functions of proper random variables, the theory of almost periodic functions, and the test for spatial correlation in a linear regression model.

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Year of publication:	2011-01-01
Authors:	Mynbaev, Kairat
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	improper random variable \| Cliff-Ord test \| autocorrelation \| spatial correlation \| characteristic function \| almost periodic functions

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in ISRN Probability and Statistics Article ID 926164.2012(2012): pp. 1-39
Classification:	C12 - Hypothesis Testing ; C31 - Cross-Sectional Models; Spatial Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011111232