Methods for determining the presence of periodic correlation based on the bootstrap methodology
Ewa Broszkiewicz-Suwaj · RePEc: Research Papers in Economics · 2003
This paper presents methods for detecting the period of non Gaussian PC processes. A new statistic for testing periodic correlation is proposed. It is based on the bootstrap procedure which is used to estimate confidence intervals of coherence statistic. This method is linked to that of Hurd and Gerr based on Goodman's tests so both methodologies are also compared. It is demonstrated that in some situations the new test appears to be better.