Improving cross-correlation tests through re-sampling techniques

In this paper, we show that type I and type II errors of the cross-correlation test between two autocorrelated time series can be reduced, in some cases, by means of tabulation of the empirical distribution of the sample cross-correlation coefficient, using alternative re-sampling techniques.

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Year of publication:	2002
Authors:	Belaire-Franch, Jorge ; Contreras-Bayarri, Dulce
Published in:	Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 29.2002, 5, p. 711-720
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005278948