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

Mynbaev, Kairat (2011): Distributions escaping to infinity and the limiting power of the Cliff-Ord test for autocorrelation. Published in: ISRN Probability and Statistics , Vol. 2012, No. Article ID 926164 (24 October 2012): pp. 1-39.

Abstract

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: improper random variable, Cliff-Ord test, autocorrelation, spatial correlation, characteristic function, almost periodic functions
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C31 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions ; Social Interaction Models

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