Jiajing Sun

Jiajing Sun

PhD, CFA, FIMA, Member of the London Mathematical Society. Associate Professor and the Deputy Director of the Department of Statistics and Data Science, School of Economics and Management, University of the Chinese Academy of Sciences.

Adjusted-range-based self-normalized autocorrelation tests

Published in Economics Letters, 2025

Abstract

This paper presents adjusted range-based self-normalized tests for the autocorrelation function (ACF) in time series, which is crucial for understanding the dependence structure and making reliable statistical inferences. Our approach offers improved performance, especially when testing for the presence of first-order ACF. We demonstrate the efficacy of these tests through simulations and apply them to analyze COVID-19 case counts in Beijing. The results confirm the robustness of our methods, promising significant advancements in the detection of temporal dependence in complex data settings.

Publisher / DOI page

Recommended citation: Sun, J., Zhu, M., & Linton, O. (2025). "Adjusted-range-based self-normalized autocorrelation tests." Economics Letters, 251, 112315.
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