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.