| Article ID: | iaor2004896 |
| Country: | Netherlands |
| Volume: | 34 |
| Issue: | 9/11 |
| Start Page Number: | 1123 |
| End Page Number: | 1131 |
| Publication Date: | Nov 2001 |
| Journal: | Mathematical and Computer Modelling |
| Authors: | Krmer W., Runde R. |
| Keywords: | ARIMA processes |
We consider empirical autocorrelations of residuals from infinite variance autoregressive processes. Unlike the finite-variance case, it emerges that the limiting distribution, after suitable normalization, is not always more concentrated around zero when residuals rather than true innovations are employed.