Tests based on normalized autocorrelation coefficients have been commonly used by applied researchers to examine the randomness of economic and financial time series. This paper investigates via Monte Carlo simulation the finite-sample properties of these tests for randomness, paying special...

This paper presents exogeneity tests for the existence (or absence) of a behavioural relationship between financial deepening and economic growth for three high performing economies: Hong Kong, South Korea and Taiwan. The findings suggest that weak, strong and super exogeneity assumptions are...

Sample partial autocorrelations are one of the main statistical tools of time series analysis. They are especially useful in identifying the order of an AR(p) process. In this note, we show via a simulation experiment that normalizing each sample partial autocorrelation with Anderson's (1993a)...