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Analytic Small Sample Bias and Standard Error Calculations for Tests of Serial Correlation in Market Returns

Author

Listed:
  • Smith, M.
  • Naik, N.Y.

Abstract

This article derives analystic finite sample approximations to the bias and standard error of a class of statistics which test the hypothesis of no serial correlation in market returns. They offer an alternative to both the widely used Monte Carlo approach for calculating the bias, as well as asymptotic standard error calculations.

Suggested Citation

  • Smith, M. & Naik, N.Y., 1997. "Analytic Small Sample Bias and Standard Error Calculations for Tests of Serial Correlation in Market Returns," Monash Econometrics and Business Statistics Working Papers 6/97, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:1997-6
    as

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    Keywords

    STATISTICS ; ECONOMETRICS;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

    Statistics

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