A Unified Approach to Testing for Serial Correlation in Stock Returns
Journal of Business, Vol 67, No 3, July 1994
Posted: 1 Jan 1999
This article provides a unified approach for testing serial correlation in stock returns. We describe a general class of statistics which are linear combinations of consistent estimators of autocorrelations. As special cases, we show that this class captures many of the statistics studied in the recent finance and macroeconomics literature. Using this result, we then provide a common perspective on the asymptotic distribution and power of these statistics.
JEL Classification: C13, G12, G14
Suggested Citation: Suggested Citation