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A Quick Test for Serial Correlation Suitable for Use with Non-Stationary Time Series

 

作者: C.W. J. Granger,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1963)
卷期: Volume 58, issue 303  

页码: 728-736

 

ISSN:0162-1459

 

年代: 1963

 

DOI:10.1080/01621459.1963.10500883

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

Goodman's simplified runs test is examined as a test for serial correlation and is found to be both much quicker to apply than other available tests and to be appropriate for use with non-stationary data provided that the series has no trend in mean. Approximations to the power of the test are discussed and it is found that the power is acceptable for samples of size 100 or more. Particular consideration is given to the application of the test to economic data.

 

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