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

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

Author Info

Smith, M.
Naik, N.Y.

Additional information is available for the following registered author(s):

Michael Stanley Smith

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.

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Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 6/97.

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Length: 21 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:msh:ebswps:1997-6

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Keywords: STATISTICS ; ECONOMETRICS;

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

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